J Liu, Y Hu, LZ Yan, CP Chang - Energy Strategy Reviews, 2023 - Elsevier
Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration. This research thus …
J Jin, L Han, L Wu, H Zeng - International Review of Financial Analysis, 2020 - Elsevier
This paper explores effective hedging instruments for carbon market risk. Examining the relationship between the carbon futures returns and the returns of four major market indices …
Even though carbon futures as a new asset have attracted the attention of scholars, there have been few attempts to investigate potential benefits of investing in carbon credits. In this …
Y Wang, S Liu, MZ Abedin, B Lucey - Journal of International Financial …, 2024 - Elsevier
There is an intricate relationship between the carbon, energy, and electricity markets, and it is essential to clarify the relationship between them to promote the sustainable development …
In this study the volatility spillover between stock market returns (Shanghai stock exchange, Nikkei stock exchange and Bombay stock exchange) and crude oil returns in the top three …
The Phase III of the European Union Emission Trading System (EU ETS) is significantly different from the previous Phases in terms of price trajectory and operational mechanism …
This article undertakes eight hedging models (Regression, MD-GARCH, BEKK-GARCH, CCC-GARCH, ECM-MD, ECM-BEKK, ECM-CCC, and state space models) to investigate …
We study the feasibility of hedging stocks with oil. The Dynamic Conditional Correlation (DCC) approach allows for the calculation of optimal hedge ratios and corresponding hedge …
This paper empirically investigates both price and volatility spillover effects in a comprehensive VEC–MGARCH framework. The hedging strategy is further discussed using …