Carbon Credits and Crude Oil: An Investigation of the Price Returns Interaction in the International Market

1Benz, E. & Trück, S. (2009). Modeling the Price Dynamics of CO2 Emission Allowances. Energy Economics, 31 (1), 4-15. DOI: https://doi.org/10.1016/j.eneco.2008.07.003.Search in Google Scholar

2Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroscedasticity. Journal of Econometrics, 31, 307-327. DOI: https://doi.org/10.1016/0304-4076(86)90063-1Search in Google Scholar

3Bollerslev, T. (2008). Glossary to ARCH (GARCH). CREATES Research Papers 2008-49. Retrieved from https://ssrn.com/abstract=1263250. DOI: http://dx.doi.org/10.2139/ssrn.1263250Search in Google Scholar

4Brooks, C. (2014). Introductory Econometrics for Finance, 3 Ed. University Printing House, Cambridge.Search in Google Scholar

5D’Ecclesia, R., Magrini, E., Montalbano, P. & Triulzi, U. (2014). Understanding Recent Oil Price Dynamics: A Novel Empirical Approach. Energy Economics, 46 (1), S11-S17. DOI: https://doi.org/10.1016/j.eneco.2014.10.005Search in Google Scholar

6Daskalakis, G, Psychoyios, D. & Markellos, R. (2009). Modeling CO2 Emission Allowances Prices and Derivatives: Evidence from the European Trading Scheme. Journal of Banking and Finance, 33, 1230-1241. DOI: https://doi.org/10.1016/j.jbankfin.2009.01.001Search in Google Scholar

7Dutta, A. (2018). Modeling and Forecasting the Volatility of Carbon Emission Market: The Role of Outliers, Time-Varying Jumps and Oil Price Risk. Journal Cleaner Production, 172, 20, 2773-2781. DOI: https://doi.org/10.1016/j.jclepro.2017.11.135Search in Google Scholar

8Enders, W. (2014). Applied Econometric Time Series, 4 Ed. John Wiley & Sons, Inc New York.Search in Google Scholar

9Engle, R. F. & Bollerslev, T. (1986). Modelling the Persistence of Conditional Variances. Econometric Reviews, 5, 1-50. DOI: https://doi.org/10.1080/07474938608800095Search in Google Scholar

10Engle, R. F. & Granger, C. W. (1987). Co-integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55, 2, 251-276. DOI: https://doi.org/10.2307/1913236Search in Google Scholar

11Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 4, 987-1007. DOI: https://doi.org/10.2307/1912773Search in Google Scholar

12Feng, Z., Zou, L. & Wei, Y. (2011). Carbon price volatility: Evidence from EU ETS. Applied Energy, 88, 590-598. DOI: https://doi.org/10.1016/j.apenergy.2010.06.017Search in Google Scholar

13Granger, C. W. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37, 3, 424-438. DOI: https://doi.org/10.2307/1912791Search in Google Scholar

14Guðbrandsdóttir, H.N. & Haraldsson, H. (2011). Predicting the Price of EU ETS Carbon Credits. Syst. Eng. Procedia, 1, 481–489. DOI: https://doi.org/10.1016/j.sepro.2011.08.070Search in Google Scholar

15Gujarati, D. & Porter, D. (2011). Basic Econometrics, 5 Ed. McGraw-Hill, New York.Search in Google Scholar

16Gujarati, D. (2019). Econometrics by Example, 2 Ed. Macmillan International Higher Education.Search in Google Scholar

17Johansen, S. & Juselius, K. (1990). Maximum Likelihood Estimation and Inference on Cointegration with Applications to Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 169-210. DOI: https://doi.org/10.1111/j.1468-0084.1990.mp52002003.xSearch in Google Scholar

18Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1551-1580. DOI: http://dx.doi.org/10.2307/2938278Search in Google Scholar

19Kanamura, T. (2021). Carbon Market Analysis and Risk Management. Handbook of Energy Economics and Policy. DOI: https://doi.org/10.1016/B978-0-12-814712-2.00007-5Search in Google Scholar

20Michaelowa, A., Shishlov, I. & Brescia, D. (2019). Evolution of International Carbon Markets: Lessons for the Paris Agreement. Wiley Interdisciplinary Reviews: Climate Change, 10(6),1-24. DOI: https://doi.org/10.1002/wcc.613Search in Google Scholar

21Nelson, D. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59, 347-370. DOI: https://doi.org/10.2307/2938260Search in Google Scholar

22Paolella, M. & Taschini, L. (2008). An Econometric Analysis of Emission Trading Allowances. Journal of Banking and Finance, 32, 2022-2032. DOI: https://doi.org/10.1016/j.jbankfin.2007.09.024Search in Google Scholar

23Salles, A. & Almeida, P. (2017). The Crude Oil Price Influence on the Brazilian Industrial Production. Open Journal of Business and Management, 5, 401-414. DOI: https://doi:10.4236/ojbm.2017.52034.Search in Google Scholar

24Salles, A. & Campanati, A. M. (2019). The Relevance of Crude Oil Prices on Natural Gas Pricing Expectations: A Dynamic Model Based Empirical Study. International Journal of Energy Economics and Policy, 9(5), 322–330.Search in Google Scholar

25Salles, A., Silva, M. & Teles, P. (2022) Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market. Open Journal of Business and Management, 10, 155-174. DOI: https://doi:10.4236/ojbm.2022.101010.Open DOISearch in Google Scholar

26Salles, A., Novo, M. & Reis, N. (2021). Influence of Crude Oil Prices on Food Insecurity Problem: the Nexus of Crude Oil and Food Prices, In International Federation of Operational Research Societies - IFORS 2021, Programme Book.Search in Google Scholar

27Sims, C. A. (1980). Macroeconomics and Reality, Econometrica, 48(1), 1-48. Retrieved from https://www.jstor.org/stable/1912017Search in Google Scholar

28Tang, K. & Xiong, W. (2012). Index Investment and the Financialization of Commodities. Financial Analysts Journal, 68, 6, 54-74. DOI: https://doi.org/10.2469/faj.v68.n6.5Search in Google Scholar

29Tian, Y., Akimov, A., Roca, E. & Wong, V. (2016). Does the Carbon Market Help or Hurt the Stock Price of Electricity Companies? Further Evidence from the European Context. Journal of Cleaner Production, 112, Part 2, 1619-1626. DOI: https://doi.org/10.1016/j.jclepro.2015.07.028Search in Google Scholar

30Wooldridge, J. (2009). Introductory Econometrics: A Modern Approach, 4th Ed. Nelson Education, Mason. Ohio, USA: Thomson-South Western.Search in Google Scholar