碳交易市场、能源市场以及股票市场之间的相依结构及风险溢出OACHSSCD

As the three indispensable markets in the modern economy,the carbon trading market,the energy market and the stock market play an important role in economic activities.Based on the skew-t-GARCH(1,1)-Copula-CoVaR model,this paper stud-ies the dependence between the daily closing price of Hubei carbon allowance,oil,natural gas,fuel for consumption,the Guozheng New Energy Index and the CSI All-Share Index,and obtains the corresponding dependencies and risk spillovers.The empirical results show that there is a negative dependence between China's carbon trading market and the energy market,as well as between the carbon trading market and the stock market,and there is a negative risk spillover between the markets.There is a positive dependence between the stock market and the energy market,along with positive risk spillovers.