Common volatility shocks driven by the global carbon transition

DOI10.1016/J.JECONOM.2023.05.008MaRDI QIDQ6190950

Susana Campos-Martins, David F. Hendry

Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

multiplicative factor modelsoil and gas industryclimate transition riskgeoclimatic volatility shocksglobal common volatility

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Climate risks and market efficiency
• Generalized autoregressive conditional heteroscedasticity
• On a measure of lack of fit in time series models

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