Time-varying correlations in oil, gas and CO2prices: an application using BEKK, CCC and DCC-MGARCH models

Previous literature has identified oil and gas prices as being the main drivers of CO2 prices in a univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) econometric framework (Alberola et al., 2008; Oberndorfer, 2009). By contrast, we argue in this article that the interrelati... View More