Balcilar, Mehmet; Demirer, Rıza; Hammoudeh, Shawkat; Nguyen, Duc Khuong
(Elsevier, 2016-02)
This study examines the risk spillovers between energy futures prices and Europe-based carbon
futures contracts. We use a Markov regime-switching dynamic correlation, generalized
autoregressive conditional heteroscedasticity ...