Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/87581
Título: | Modelling causality in nonstationary variances with an application to carbon markets |
Autor(es): | Martins, Susana Amado, Cristina |
Palavras-chave: | Variance interactions Nonstationarity Short- and long-term volatility Lagrange multiplier test |
Data: | 2023 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Resumo(s): | In this paper we propose a multivariate generalisation of the multiplicative decomposition of the volatility within the class of conditional correlation GARCH models. The GARCH variance equations are multiplicatively decomposed into a deterministic nonstationary component describing the long-run movements in volatility and a short-run dynamic component allowing for volatility spillover effects across markets or assets. The conditional correlations are assumed to be time-invariant in its simplest form or generalised into a flexible dynamic parameterisation. Parameters of the model are estimated equation-by-equation by maximum likelihood applying the maximisation by parts algorithm to the variance equations, and thereafter to the structure of conditional correlations. An empirical application using carbon markets data illustrates the usefulness of the model. Our results suggest that, after modelling the variance equations accordingly, we find evidence that the transmission mechanism of shocks persists which is supported by the presence of variance interactions robust to nonstationarity. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/87581 |
Versão da editora: | https://nipe.eeg.uminho.pt/publicacoes-nipe/#documentos-de-trabalho |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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WP-13.2023.pdf | Modelling causality in nonstationary variances with an application to carbon markets | 1,87 MB | Adobe PDF | Ver/Abrir |