Nonlinear dependence and connectedness between clean/renewable energy sector equity and European emission allowance prices
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DOI: 10.1016/j.eneco.2021.105409
Abstract: Abstract This study examines frequency volatility spillovers, connectedness and the nonlinear dependence between the European emission allowance (EUA) prices and renewable energy indices. For this purpose, we use a time-scale spillover index and different copula… read more here.
Keywords: european emission; energy indices; dependence; nonlinear dependence ... See more keywords