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Pré-Publication, Document De Travail Année : 2015

Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model

Résumé

We examine the dependence between the volatility of the prices of the carbon dioxide "CO2" emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the Stochastic Autoregressive Copulas (SCAR), which is a time varying copula that was first introduced by Hafner and Manner (2012)[1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with Efficient Importance Sampling (EIS) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils.
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Dates et versions

halshs-01148746 , version 1 (05-05-2015)

Identifiants

  • HAL Id : halshs-01148746 , version 1

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Vêlayoudom Marimoutou, Manel Soury. Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model. 2015. ⟨halshs-01148746⟩
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