论文标题
建模欧洲碳和能源价格的波动性和依赖性
Modeling Volatility and Dependence of European Carbon and Energy Prices
论文作者
论文摘要
我们研究了欧洲排放津贴（EUA）的价格，从而分析了它们对相关能源价格（天然气，煤炭和石油）的不确定性和依赖性。我们提出了一个具有VECM-COPULA-GARCH结构的概率多元条件时间序列模型，该模型利用了数据的关键特征。对于通货膨胀和碳排放，数据归一化，以进行适当的跨系列评估。在一项广泛的滚动窗口预测研究中评估了预测性能，涵盖了八年的样本。我们讨论了有关级别和对数转换数据的发现，鉴于俄罗斯对乌克兰的入侵，关注时变的相关性。
We study the prices of European Emission Allowances (EUA), whereby we analyze their uncertainty and dependencies on related energy prices (natural gas, coal, and oil). We propose a probabilistic multivariate conditional time series model with a VECM-Copula-GARCH structure which exploits key characteristics of the data. Data are normalized with respect to inflation and carbon emissions to allow for proper cross-series evaluation. The forecasting performance is evaluated in an extensive rolling-window forecasting study, covering eight years out-of-sample. We discuss our findings for both levels- and log-transformed data, focusing on time-varying correlations, and in view of the Russian invasion of Ukraine.
