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17-051/III - Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA


  • Authors
    Chia-Lin Chang, National Tsing Hua University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan.; Guangdong Zuo, National Tsing Hua University, Taiwan
  • Publication date
    May 31, 2017
  • Keywords
    Carbon emissions, Fossil fuels, Crude oil, Coal, Low carbon targets, Green energy, Spot and futures prices, Granger causality and volatility spillovers, Likelihood ration test, Diagonal BEKK, Full BEKK, Dynamic hedging
  • JEL
    C58, L71, O13, P28, Q42