碳期货市场流动性和波动性的尾部依赖性：来自EU ETS的证据

IF 2.7 3区经济学 Q2 ECONOMICS

Managerial and Decision Economics Pub Date : 2025-04-28 DOI:10.1002/mde.4545

Xiaohan Cai, Bo Yan

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引用次数: 0

摘要

本研究基于EU ETS的四个阶段构建了流动性和波动性指标，并利用Copula模型分析了尾部相关性。结果表明，在第四阶段，流动性和波动性之间存在很强的尾部依赖性。Amihud非流动性比率结合随机波动率模型识别流动性稀缺时的高波动率风险，Gibbs测度结合随机波动率模型识别低波动率风险。通过基于结构断裂和评估尾部依赖性对不同时期进行分类，以及在测量尾部依赖性之前应用机器学习算法去除异常值，测试了结果的鲁棒性。

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Tail Dependence of Liquidity and Volatility in Carbon Futures Market: Evidence From EU ETS

This study constructs liquidity and volatility indicators based on the four phases of EU ETS and analyses tail dependence using Copula models. The results indicate strong tail dependence between liquidity and volatility in the fourth phase. The Amihud illiquidity ratio combined with the stochastic volatility model identifies high volatility risks during liquidity scarcity, while the Gibbs measure combined with the stochastic volatility model identifies low volatility risks. The robustness of the results is tested by classifying different periods based on structural breaks and assessing tail dependence, and by applying machine learning algorithms to remove outliers before measuring tail dependence.

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来源期刊

Managerial and Decision Economics Multiple-

CiteScore

1.40

自引率

18.20%

发文量

242

期刊介绍： Managerial and Decision Economics will publish articles applying economic reasoning to managerial decision-making and management strategy.Management strategy concerns practical decisions that managers face about how to compete, how to succeed, and how to organize to achieve their goals. Economic thinking and analysis provides a critical foundation for strategic decision-making across a variety of dimensions. For example, economic insights may help in determining which activities to outsource and which to perfom internally. They can help unravel questions regarding what drives performance differences among firms and what allows these differences to persist. They can contribute to an appreciation of how industries, organizations, and capabilities evolve.