Abstract
The current literature analyzed the dependence between EU carbon market and the crude oil market from the perspectives of linear regression and Granger causality test. In this paper, we examine the dependence between carbon market and crude oil market using a particular class of copula model. By using different constant copula models, our findings suggest that the dependence between the two markets is symmetric, and the dependence structure has changed during different phases. Meanwhile, the dependence in the third phase is weaker than the dependence in the second phase. By analyzing the time-varying copula, we come to the conclusion that the time-varying dependence coefficient fluctuates greatly, and there is greater dependence in the period of crisis and instability.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: IOP Conference Series: Earth and Environmental Science
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
