期刊名称：IOP Conference Series: Earth and Environmental Science
印刷版ISSN：1755-1307
电子版ISSN：1755-1315
出版年度：2019
卷号：237
期号：4
页码：042005
DOI：10.1088/1755-1315/237/4/042005
出版社：IOP Publishing
摘要：The current literature analyzed the dependence between EU carbon market and the crude oil market from the perspectives of linear regression and Granger causality test. In this paper, we examine the dependence between carbon market and crude oil market using a particular class of copula model. By using different constant copula models, our findings suggest that the dependence between the two markets is symmetric, and the dependence structure has changed during different phases. Meanwhile, the dependence in the third phase is weaker than the dependence in the second phase. By analyzing the time-varying copula, we come to the conclusion that the time-varying dependence coefficient fluctuates greatly, and there is greater dependence in the period of crisis and instability.
