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Volume 4,Issue 4

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20 January 2026

欧盟碳排放权交易价格、能源商品和股票市场的相关性研究——基于动态条件相关性方法

志伟 黄1
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1 广州理工学院经济管理学院, 中国
© 2026 by the Author(s). Licensee Art and Technology, USA. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution -Noncommercial 4.0 International License (CC BY-NC 4.0) ( https://creativecommons.org/licenses/by-nc/4.0/ )
Abstract

本文运用Engle(2002)提出的动态条件相关GARCH 模型(DCC-GARCH Model),研究欧盟碳排放权交易价格、能源商品与欧洲股票市场间的条件相关性。实证发现,2005~2007年间,碳排放权交易价格、能源商品与股票市场之间存在固定的条件相关性;2008-2012年间,碳排放权交易价格、能源商品与股票市场之间存在动态的条件相关性,并且各能源商品市场与股票市场之间也存在动态的条件相关性。进一步发现金融危机后动态条件相关性,呈现明显增加的趋势。

Keywords
碳排放权交易价格
动态条件相关性
双变量DCC-GARCH 模型
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