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Volatility Spillovers and Causality of Carbon Emissions, Oil and Coal Spot and Futures for the EU and USA. (2017). McAleer, Michael ; Chang, Chia-Lin ; Zuo, Guangdong .
In: Sustainability.
RePEc:gam:jsusta:v:9:y:2017:i:10:p:1789-:d:113954.

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Cited: 21

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Cites: 31

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  1. On the Pricing Effects of Bitcoin Mining in the Fossil Fuel Market: The Case of Coal. (2022). Gupta, Rangan ; Demirer, Riza ; Sibande, Xolani.
    In: Working Papers.
    RePEc:pre:wpaper:202239.

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  2. Impact of COVID-19 on returns-volatility spillovers in national and regional carbon markets in China. (2022). Chang, Chia-Lin ; McAleer, Michael ; Foley, Aoife M ; Mai, Te-Ke.
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:169:y:2022:i:c:s1364032122007432.

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  3. Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (2022). Chang, Chia-Lin ; Asai, Manabu ; McAleer, Michael.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:285-304.

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  4. Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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  5. Does Time Varying Risk Premia Exist in the International Bond Market? An Empirical Evidence from Australian and French Bond Market. (2021). A. B. M. Rabiul Alam Beg, ; A. B. M. Rabiul Alam Beg, ; Aftab, Hira.
    In: IJFS.
    RePEc:gam:jijfss:v:9:y:2021:i:1:p:3-:d:474400.

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  6. Analysis of China’s Manufacturing Industry Carbon Lock-In and Its Influencing Factors. (2020). Qin, Yaochen ; Zhang, Lijun ; Wang, Xia.
    In: Sustainability.
    RePEc:gam:jsusta:v:12:y:2020:i:4:p:1502-:d:321846.

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  7. Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications. (2020). Yousaf, Imran ; Wong, Wing-Keung ; Ali, Shoaib.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:148-:d:381691.

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  8. Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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  9. Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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  10. Modeling and Testing Volatility Spillovers in Oil and Financial Markets for the USA, the UK, and China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Tian, Jiarong .
    In: Energies.
    RePEc:gam:jeners:v:12:y:2019:i:8:p:1475-:d:224091.

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  11. Modeling Latent Carbon Emission Prices for Japan: Theory and Practice. (2019). McAleer, Michael ; Chang, Chia-Lin.
    In: Energies.
    RePEc:gam:jeners:v:12:y:2019:i:21:p:4222-:d:283913.

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  12. An empirical investigation of volatility dynamics in the cryptocurrency market. (2019). Katsiampa, Paraskevi.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:50:y:2019:i:c:p:322-335.

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  13. Establishing national carbon emission prices for China. (2019). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke.
    In: Renewable and Sustainable Energy Reviews.
    RePEc:eee:rensus:v:106:y:2019:i:c:p:1-16.

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  14. The fiction of full BEKK: Pricing fossil fuels and carbon emissions. (2019). McAleer, Michael ; Chang, Chia-Lin.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:28:y:2019:i:c:p:11-19.

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  15. PRICING CARBON EMISSIONS IN CHINA. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:13:y:2018:i:03:n:s2010495218500148.

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  16. Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Chang, Chia-Lin ; Mai, Te-Ke.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20180028.

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  17. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, Tai-Lin .
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:58-:d:172906.

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  18. Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice. (2018). McAleer, Michael ; Chang, Chia-Lin.
    In: Energies.
    RePEc:gam:jeners:v:11:y:2018:i:6:p:1595-:d:153161.

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  19. Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsieh, T-L., ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:111552.

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  20. Establishing National Carbon Emission Prices for China. (2018). McAleer, Michael ; Mai, TeKe ; Chang, Chia-Lin ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:105880.

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  21. Credit and market risks measurement in carbon financing for Chinese banks. (2018). Zhang, XI ; Li, Jian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:76:y:2018:i:c:p:549-557.

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References

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  51. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki .
    In: Departmental Working Papers.
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  52. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
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  53. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1996). Lebaron, Blake.
    In: NBER Working Papers.
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  54. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Jones, Charles M. ; Lumsdaine, Robin .
    In: NBER Working Papers.
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  55. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate. (1996). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:320.

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  56. Monetary Instability, the Predictability of Prices and the Allocation of Investment: An Empirical Investigation Using UK Panel Data. (1996). Schiantarelli, Fabio ; Caglayan, Mustafa ; Beaudry, Paul.
    In: Boston College Working Papers in Economics.
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  57. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
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  58. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
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  59. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

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