TY - JOUR
DP - National Agricultural Library
DB - PubAg
JO - Energy
TI - Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model
A1 - Marimoutou, Vêlayoudom
A4 - Marimoutou, Vêlayoudom
A4 - Soury, Manel
EP - 2015 v.88
KW - carbon dioxide
KW - coal
KW - energy
KW - energy costs
KW - greenhouse gas emissions
KW - markets
KW - models
KW - natural gas
KW - oils
KW - prices
KW - probability
AN - 6036604
AB - We examine the dependence between the volatility of the prices of the carbon dioxide “CO2” emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the SCAR (Stochastic Autoregressive) Copulas, which is a time varying copula that was first introduced by Hafner and Manner (2012) [1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with EIS (Efficient Importance Sampling) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils.
PY - 2015
LA -
DA - 2015-08
VL - v. 88
SP - pp. 13-429
DO - 10.1016/j.energy.2015.05.060
ER -