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Energy prices and CO2 emission allowance prices: A quantile regression approach

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Cited by:

  1. Jie Zhang & Lu Zhang, 2016. "Impacts on CO 2 Emission Allowance Prices in China: A Quantile Regression Analysis of the Shanghai Emission Trading Scheme," Sustainability, MDPI, vol. 8(11), pages 1-12, November.
  2. Zhang, Dayong & Li, Jun & Ji, Qiang, 2020. "Does better access to credit help reduce energy intensity in China? Evidence from manufacturing firms," Energy Policy, Elsevier, vol. 145(C).
  3. repec:hum:wpaper:sfb649dp2017-025 is not listed on IDEAS
  4. Maciejowska, Katarzyna, 2020. "Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach," Energy Economics, Elsevier, vol. 85(C).
  5. Fang, Sheng & Lu, Xinsheng & Li, Jianfeng & Qu, Ling, 2018. "Multifractal detrended cross-correlation analysis of carbon emission allowance and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 551-566.
  6. Haider Mahmood & Alam Asadov & Muhammad Tanveer & Maham Furqan & Zhang Yu, 2022. "Impact of Oil Price, Economic Growth and Urbanization on CO 2 Emissions in GCC Countries: Asymmetry Analysis," Sustainability, MDPI, vol. 14(8), pages 1-21, April.
  7. Bilgili, Faik & Mugaloglu, Erhan & Koçak, Emrah, 2018. "The impact of oil prices on CO2 emissions in China: A Wavelet coherence approach," MPRA Paper 90170, University Library of Munich, Germany.
  8. Alkathery, Mohammed A. & Chaudhuri, Kausik & Nasir, Muhammad Ali, 2023. "Dependence between the GCC energy equities, global clean energy and emission markets: Evidence from wavelet analysis," Energy Economics, Elsevier, vol. 121(C).
  9. repec:ipg:wpaper:2014-546 is not listed on IDEAS
  10. Zhao, Lili & Wen, Fenghua, 2022. "Risk-return relationship and structural breaks: Evidence from China carbon market," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 481-492.
  11. Lin, Boqiang & Chen, Yufang, 2019. "Dynamic linkages and spillover effects between CET market, coal market and stock market of new energy companies: A case of Beijing CET market in China," Energy, Elsevier, vol. 172(C), pages 1198-1210.
  12. Chang, Kai & Ye, Zhifang & Wang, Weihong, 2019. "Volatility spillover effect and dynamic correlation between regional emissions allowances and fossil energy markets: New evidence from China’s emissions trading scheme pilots," Energy, Elsevier, vol. 185(C), pages 1314-1324.
  13. Pilar Gargallo & Luis Lample & Jesús A. Miguel & Manuel Salvador, 2021. "Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach," Mathematics, MDPI, vol. 9(15), pages 1-36, July.
  14. Lovcha, Yuliya & Perez-Laborda, Alejandro & Sikora, Iryna, 2022. "The determinants of CO2 prices in the EU emission trading system," Applied Energy, Elsevier, vol. 305(C).
  15. Zied Ftiti & Aviral Tiwari & Amél Belanès, 2014. "Tests of Financial Market Contagion: Evolutionary Cospectral Analysis V.S. Wavelet Analysis," Working Papers 2014-62, Department of Research, Ipag Business School.
  16. Segnon, Mawuli & Lux, Thomas & Gupta, Rangan, 2017. "Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models," Renewable and Sustainable Energy Reviews, Elsevier, vol. 69(C), pages 692-704.
  17. Wenjun Chu & Shanglei Chai & Xi Chen & Mo Du, 2020. "Does the Impact of Carbon Price Determinants Change with the Different Quantiles of Carbon Prices? Evidence from China ETS Pilots," Sustainability, MDPI, vol. 12(14), pages 1-19, July.
  18. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
  19. Huber, Julian & Dann, David & Weinhardt, Christof, 2020. "Probabilistic forecasts of time and energy flexibility in battery electric vehicle charging," Applied Energy, Elsevier, vol. 262(C).
  20. Gargallo, Pilar & Lample, Luis & Miguel, Jesús A. & Salvador, Manuel, 2024. "Sequential management of energy and low-carbon portfolios," Research in International Business and Finance, Elsevier, vol. 69(C).
  21. Karim, Muhammad Mahmudul & Kawsar, Najmul Haque & Ariff, Mohamed & Masih, Mansur, 2022. "Does implied volatility (or fear index) affect Islamic stock returns and conventional stock returns differently? Wavelet-based granger-causality, asymmetric quantile regression and NARDL approaches," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
  22. Niu, Shuwen & Jia, Yanqin & Ye, Liqiong & Dai, Runqi & Li, Na, 2016. "Does electricity consumption improve residential living status in less developed regions? An empirical analysis using the quantile regression approach," Energy, Elsevier, vol. 95(C), pages 550-560.
  23. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Noman, Ambreen, 2021. "The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency-domain: The role of the U.S. economic policy uncertainty," Resources Policy, Elsevier, vol. 74(C).
  24. Chun-Cheng Lin & Rou-Xuan He & Wan-Yu Liu, 2018. "Considering Multiple Factors to Forecast CO 2 Emissions: A Hybrid Multivariable Grey Forecasting and Genetic Programming Approach," Energies, MDPI, vol. 11(12), pages 1-25, December.
  25. Umer Jeelanie Banday & Mustafa Kocoglu, 2023. "Modelling Simultaneous Relationships Between Human Development, Energy, and Environment: Fresh Evidence from Panel Quantile Regression," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(2), pages 1559-1581, June.
  26. repec:ipg:wpaper:2014-494 is not listed on IDEAS
  27. Lyu, Chenyan & Jamasb, Tooraj & Spanholtz, Jan Peter Georg, 2021. "The Long Covid of Energy Markets and Prices," Working Papers 16-2021, Copenhagen Business School, Department of Economics, revised 02 Nov 2021.
  28. Yi Yao & Lixin Tian & Guangxi Cao, 2022. "The Information Spillover among the Carbon Market, Energy Market, and Stock Market: A Case Study of China’s Pilot Carbon Markets," Sustainability, MDPI, vol. 14(8), pages 1-18, April.
  29. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2016. "Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk," Energy Economics, Elsevier, vol. 54(C), pages 159-172.
  30. Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong & Sousa, Ricardo M., 2015. "An empirical analysis of energy cost pass-through to CO2 emission prices," Energy Economics, Elsevier, vol. 49(C), pages 149-156.
  31. repec:ipg:wpaper:2014-569 is not listed on IDEAS
  32. Mawuli Segnon & Thomas Lux & Rangan Gupta, 2015. "Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-Type Volatility Models," Working Papers 201550, University of Pretoria, Department of Economics.
  33. Gil-Alana, Luis A. & Gupta, Rangan & de Gracia, Fernando Perez, 2016. "Modeling persistence of carbon emission allowance prices," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 221-226.
  34. Yang, Lu, 2022. "Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe," Journal of Commodity Markets, Elsevier, vol. 25(C).
  35. Taha Zaghdoudi, 2017. "Oil prices, renewable energy, CO2 emissions and economic growth in OECD countries," Economics Bulletin, AccessEcon, vol. 37(3), pages 1844-1850.
  36. Bel, Germà & Rosell, Jordi, 2017. "The impact of socioeconomic characteristics on CO2 emissions associated with urban mobility: Inequality across individuals," Energy Economics, Elsevier, vol. 64(C), pages 251-261.
  37. repec:ipg:wpaper:2014-481 is not listed on IDEAS
  38. Bamanga Umar & Md. Mahmudul Alam & Abul Quasem Al-Amin, 2021. "Exploring the contribution of energy price to carbon emissions in African countries," Post-Print hal-03520182, HAL.
  39. repec:ipg:wpaper:2014-502 is not listed on IDEAS
  40. repec:ipg:wpaper:2014-552 is not listed on IDEAS
  41. Dai, Xingyu & Xiao, Ling & Wang, Qunwei & Dhesi, Gurjeet, 2021. "Multiscale interplay of higher-order moments between the carbon and energy markets during Phase III of the EU ETS," Energy Policy, Elsevier, vol. 156(C).
  42. Yinpeng Zhang & Zhixin Liu & Xueying Yu, 2017. "The Diversification Benefits of Including Carbon Assets in Financial Portfolios," Sustainability, MDPI, vol. 9(3), pages 1-13, March.
  43. Li, Xin & Li, Zheng & Su, Chi-Wei & Umar, Muhammad & Shao, Xuefeng, 2022. "Exploring the asymmetric impact of economic policy uncertainty on China's carbon emissions trading market price: Do different types of uncertainty matter?," Technological Forecasting and Social Change, Elsevier, vol. 178(C).
  44. Chang, Kai & Chen, Rongda & Chevallier, Julien, 2018. "Market fragmentation, liquidity measures and improvement perspectives from China's emissions trading scheme pilots," Energy Economics, Elsevier, vol. 75(C), pages 249-260.
  45. Benschop, Thijs & López Cabrera, Brenda, 2017. "Realized volatility of CO2 futures," SFB 649 Discussion Papers 2017-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  46. Ren, Xiaohang & Li, Yiying & Qi, Yinshu & Duan, Kun, 2022. "Asymmetric effects of decomposed oil-price shocks on the EU carbon market dynamics," Energy, Elsevier, vol. 254(PB).
  47. Taha Zaghdoudi, 2018. "Asymmetric responses of CO2 emissions to oil price shocks in China: a non-linear ARDL approach," Economics Bulletin, AccessEcon, vol. 38(3), pages 1485-1493.
  48. repec:ipg:wpaper:2014-582 is not listed on IDEAS
  49. repec:ipg:wpaper:2014-469 is not listed on IDEAS
  50. repec:ipg:wpaper:2014-486 is not listed on IDEAS
  51. repec:ipg:wpaper:2014-523 is not listed on IDEAS
  52. Chen, Yanhui & Zhou, Xiaoyu & Chen, Shun & Mi, Jackson Jinhong, 2024. "LNG freight rate and LNG price, carbon price, geopolitical risk: A dynamic connectedness analysis," Energy, Elsevier, vol. 302(C).
  53. Elvis Dze Achuo, 2022. "The nexus between crude oil price shocks and environmental quality: empirical evidence from sub-Saharan Africa," SN Business & Economics, Springer, vol. 2(7), pages 1-15, July.
  54. Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
  55. Yeonjeong Lee & Seong-Min Yoon, 2020. "Dynamic Spillover and Hedging among Carbon, Biofuel and Oil," Energies, MDPI, vol. 13(17), pages 1-19, August.
  56. Wen, Fenghua & Zhao, Lili & He, Shaoyi & Yang, Guozheng, 2020. "Asymmetric relationship between carbon emission trading market and stock market: Evidences from China," Energy Economics, Elsevier, vol. 91(C).
  57. repec:ipg:wpaper:2014-518 is not listed on IDEAS
  58. Xiao, Jihong & Wang, Yudong, 2022. "Macroeconomic uncertainty, speculation, and energy futures returns: Evidence from a quantile regression," Energy, Elsevier, vol. 241(C).
  59. Fang Zhang & Zhengjun Zhang, 2020. "The tail dependence of the carbon markets: The implication of portfolio management," PLOS ONE, Public Library of Science, vol. 15(8), pages 1-17, August.
  60. Do, Linh Phuong Catherine & Lyócsa, Štefan & Molnár, Peter, 2021. "Residual electricity demand: An empirical investigation," Applied Energy, Elsevier, vol. 283(C).
  61. repec:ipg:wpaper:2014-535 is not listed on IDEAS
  62. Małgorzata Błażejowska & Anna Czarny & Iwona Kowalska & Andrzej Michalczewski & Paweł Stępień, 2024. "The Effectiveness of the EU ETS Policy in Changing the Energy Mix in Selected European Countries," Energies, MDPI, vol. 17(17), pages 1-21, August.
  63. Fuzhong Chen & Guohai Jiang & Getachew Magnar Kitila, 2021. "Trade Openness and CO 2 Emissions: The Heterogeneous and Mediating Effects for the Belt and Road Countries," Sustainability, MDPI, vol. 13(4), pages 1-16, February.
  64. Zheng, Yan & Yin, Hua & Zhou, Min & Liu, Wenhua & Wen, Fenghua, 2021. "Impacts of oil shocks on the EU carbon emissions allowances under different market conditions," Energy Economics, Elsevier, vol. 104(C).
  65. repec:ipg:wpaper:2014-586 is not listed on IDEAS
  66. Joao Leitao & Joaquim Ferreira & Ernesto Santibanez‐Gonzalez, 2021. "Green bonds, sustainable development and environmental policy in the European Union carbon market," Business Strategy and the Environment, Wiley Blackwell, vol. 30(4), pages 2077-2090, May.
  67. repec:ipg:wpaper:2014-547 is not listed on IDEAS
  68. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2022. "Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change," International Review of Financial Analysis, Elsevier, vol. 83(C).
  69. Chang, Kai & Ge, Fangping & Zhang, Chao & Wang, Weihong, 2018. "The dynamic linkage effect between energy and emissions allowances price for regional emissions trading scheme pilots in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 98(C), pages 415-425.
  70. Cristiano Salvagnin & Aldo Glielmo & Maria Elena De Giuli & Antonietta Mira, 2024. "Investigating the price determinants of the European Emission Trading System: a non-parametric approach," Quantitative Finance, Taylor & Francis Journals, vol. 24(10), pages 1529-1544, October.
  71. Ren, Xiaohang & Duan, Kun & Tao, Lizhu & Shi, Yukun & Yan, Cheng, 2022. "Carbon prices forecasting in quantiles," Energy Economics, Elsevier, vol. 108(C).
  72. Chun Jiang & Yi-Fan Wu & Xiao-Lin Li & Xin Li, 2020. "Time-frequency Connectedness between Coal Market Prices, New Energy Stock Prices and CO 2 Emissions Trading Prices in China," Sustainability, MDPI, vol. 12(7), pages 1-17, April.
  73. Wen, Fenghua & Zhao, Haocen & Zhao, Lili & Yin, Hua, 2022. "What drive carbon price dynamics in China?," International Review of Financial Analysis, Elsevier, vol. 79(C).
  74. repec:ipg:wpaper:2014-529 is not listed on IDEAS
  75. Nguyen, Duc Khuong & Sensoy, Ahmet & Sousa, Ricardo M. & Salah Uddin, Gazi, 2020. "U.S. equity and commodity futures markets: Hedging or financialization?," Energy Economics, Elsevier, vol. 86(C).
  76. repec:ipg:wpaper:2014-542 is not listed on IDEAS
  77. Wang, Jiqiang & Dai, Peng-Fei & Zhang, Xuewen, 2024. "Untangling the entanglement of US monetary policy uncertainty and European natural gas and carbon prices," Energy Economics, Elsevier, vol. 133(C).
  78. Muhammad Shahbaz & Arshian Sharif & Alaa M. Soliman & Zhilun Jiao & Shawkat Hammoudeh, 2024. "Oil prices and geopolitical risk: Fresh insights based on Granger‐causality in quantiles analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 2865-2881, July.
  79. Zhao, Lili & Wen, Fenghua & Wang, Xiong, 2020. "Interaction among China carbon emission trading markets: Nonlinear Granger causality and time-varying effect," Energy Economics, Elsevier, vol. 91(C).
  80. Wu, Ruirui & Qin, Zhongfeng & Liu, Bing-Yue, 2022. "A systemic analysis of dynamic frequency spillovers among carbon emissions trading (CET), fossil energy and sectoral stock markets: Evidence from China," Energy, Elsevier, vol. 254(PA).
  81. repec:ipg:wpaper:2014-545 is not listed on IDEAS
  82. Duan, Kun & Ren, Xiaohang & Shi, Yukun & Mishra, Tapas & Yan, Cheng, 2021. "The marginal impacts of energy prices on carbon price variations: Evidence from a quantile-on-quantile approach," Energy Economics, Elsevier, vol. 95(C).
  83. Hanif, Waqas & Arreola Hernandez, Jose & Mensi, Walid & Kang, Sang Hoon & Uddin, Gazi Salah & Yoon, Seong-Min, 2021. "Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices," Energy Economics, Elsevier, vol. 101(C).
  84. Dorota Ciesielska-Maciągowska & Dawid Klimczak & Małgorzata Skrzek-Lubasińska, 2021. "Central and Eastern European CO 2 Market—Challenges of Emissions Trading for Energy Companies," Energies, MDPI, vol. 14(4), pages 1-14, February.
  85. Zeng, Shihong & Nan, Xin & Liu, Chao & Chen, Jiuying, 2017. "The response of the Beijing carbon emissions allowance price (BJC) to macroeconomic and energy price indices," Energy Policy, Elsevier, vol. 106(C), pages 111-121.
  86. Chen, Weidong & Xiong, Shi & Chen, Quanyu, 2022. "Characterizing the dynamic evolutionary behavior of multivariate price movement fluctuation in the carbon-fuel energy markets system from complex network perspective," Energy, Elsevier, vol. 239(PA).
  87. Badeeb, Ramez Abubakr & Lean, Hooi Hooi & Shahbaz, Muhammad, 2020. "Are too many natural resources to blame for the shape of the Environmental Kuznets Curve in resource-based economies?," Resources Policy, Elsevier, vol. 68(C).
  88. repec:ipg:wpaper:2014-495 is not listed on IDEAS
  89. Man, Yuanyuan & Zhang, Sunpei & He, Yongda, 2024. "Dynamic risk spillover and hedging efficacy of China’s carbon-energy-finance markets: Economic policy uncertainty and investor sentiment non-linear causal effects," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1397-1416.
  90. Chen, Linfei & Zhao, Xuefeng, 2024. "A multiscale and multivariable differentiated learning for carbon price forecasting," Energy Economics, Elsevier, vol. 131(C).
  91. Budak, Aysenur & Ustundag, Alp & Guloglu, Bulent, 2017. "A forecasting approach for truckload spot market pricing," Transportation Research Part A: Policy and Practice, Elsevier, vol. 97(C), pages 55-68.
  92. repec:ipg:wpaper:2014-583 is not listed on IDEAS
  93. Sun, Qingqing & Chen, Hong & Long, Ruyin & Chen, Jiawei, 2024. "Integrated prediction of carbon price in China based on heterogeneous structural information and wall-value constraints," Energy, Elsevier, vol. 306(C).
  94. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Le, TN-Lan & Leyva-de la Hiz, Dante I., 2021. "Markov-switching dependence between artificial intelligence and carbon price: The role of policy uncertainty in the era of the 4th industrial revolution and the effect of COVID-19 pandemic," Technological Forecasting and Social Change, Elsevier, vol. 163(C).
  95. Rao, Amar & Lucey, Brian & Kumar, Satish, 2023. "Climate risk and carbon emissions: Examining their impact on key energy markets through asymmetric spillovers," Energy Economics, Elsevier, vol. 126(C).
  96. Jianguo Zhou & Xuejing Huo & Xiaolei Xu & Yushuo Li, 2019. "Forecasting the Carbon Price Using Extreme-Point Symmetric Mode Decomposition and Extreme Learning Machine Optimized by the Grey Wolf Optimizer Algorithm," Energies, MDPI, vol. 12(5), pages 1-22, March.
  97. Tan, Xue-Ping & Wang, Xin-Yu, 2017. "Dependence changes between the carbon price and its fundamentals: A quantile regression approach," Applied Energy, Elsevier, vol. 190(C), pages 306-325.
  98. Li, Zheng-Zheng & Li, Yameng & Huang, Chia-Yun & Peculea, Adelina Dumitrescu, 2023. "Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method," Energy Economics, Elsevier, vol. 119(C).
  99. repec:ipg:wpaper:2014-549 is not listed on IDEAS
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