Abstract:In this paper, we propose the copula-mixed frequency data sampling model incorporating time-varying risk aversion (RA) (copula-MIDAS-RA model) to investigate the impact of time-varying RA on the dynamic dependence between crude oil futures and European Union allowance (EUA) futures markets. An empirical analysis based on the daily data on the Brent crude oil futures and EUA futures returns and the monthly data on the RA index shows that the Student-t copula-MIDAS-RA model has better goodness-of-fit than other … Show more
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