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基于Copula模型的碳市场与能源期货市场相关性研究.docx

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    • 基于Copula模型的碳市场与能源期货市场相关性研究摘要:本文旨在研究碳市场与能源期货市场的相关性,采用Copula模型对碳市场与原油期货市场、天然气期货市场、电力期货市场进行相关性分析首先,利用ADF检验和PP检验验证了所选期货价格序列的平稳性和协整性,然后通过Gaussian Copula、t-Copula和Clayton Copula模型对碳市场与能源期货市场的相关性进行建模和分析结果表明,碳市场与能源期货市场之间存在强烈的相关性,选择不同的Copula函数对相关性的解释不同,但总体上表现出了较高的相关性此外,还对Copula模型所建立的联合分布进行了模拟,对未来市场价格变化进行了预测,以期为投资者提供一定的参考意见关键词:Copula模型;相关性;碳市场;能源期货市场;预测Abstract:The purpose of this paper is to study the correlation between carbon market and energy futures market, using the Copula model to analyze the correlation between carbon market and crude oil futures market, natural gas futures market, and electricity futures market. Firstly, the stationarity and cointegration of the selected futures price series were verified by ADF test and PP test. Then, the Gaussian Copula, t-Copula, and Clayton Copula models were used to model and analyze the correlation between carbon market and energy futures market. The results show that there is a strong correlation between carbon market and energy futures market, and different Copula functions explain the correlation differently, but overall, it shows a high correlation. In addition, the joint distribution established by the Copula model was simulated, and the future market price changes were predicted, in order to provide some advice for investors.Key words: Copula model; correlation; carbon market; energy futures market; predictio。

      The results of the study highlight the significant correlation between the carbon market and energy futures market. The use of Copula models was found to be effective in explaining the nature of this correlation. The different Copula functions used in the study, such as Gaussian, Clayton and Gumbel, provided different insights into the relationship between the two markets. However, the overall conclusion was that there is a high positive correlation between the carbon market and energy futures market.The Copula model was also used to simulate the joint distribution of the two markets. This allowed for the prediction of future market price changes. This prediction can be useful for investors who want to make informed decisions regarding their investments in these markets. For instance, the study found that a significant portion of the carbon market price changes can be attributed to changes in the energy futures market. Therefore, investors in the carbon market should also closely monitor the energy futures market.In conclusion, this study provides evidence of a strong correlation between the carbon market and energy futures market. The use of Copula models is an effective way to explain this correlation and predict future market price changes. Investors can use these findings to make informed investment decisions in these markets。

      Moreover, the findings of this study also have important implications for policy makers. The carbon market plays a crucial role in achieving greenhouse gas emission reductions required to mitigate climate change. Therefore, policy makers should recognize the impact of energy futures market on the carbon market and incorporate it into their decision making.One way to do this is by implementing policies that promote investment in renewable energy sources. As renewable energy sources become more prevalent and affordable, the demand for fossil fuels decreases, leading to lower prices in the energy futures market. This, in turn, could lead to lower prices in the carbon market, making it less attractive for investors. By promoting renewable energy, policy makers can help reduce the impact of energy futures market fluctuations on the carbon market.Another way to address this issue is by promoting market stability. Fluctuations in the energy futures market and their impact on the carbon market can lead to volatility and uncertainty, which can discourage investment. By implementing policies that promote transparency, reduce information asymmetry, and increase market liquidity, policy makers can help stabilize the market and make it more attractive to investors.In conclusion, this study provides evidence of a strong correlation between the carbon market and energy futures market. Investors and policy makers should recognize this correlation and its implications for their decision making. By using Copula models, investors can better predict market price changes and make informed investment decisions. Policy makers can also use these findings to implement policies that promote market stability and encourage investment in renewable energy sources。

      Furthermore, this study also sheds light on the importance of incorporating ESG (Environmental, Social and Governance) factors in investment decisions. With the increasing recognition of the impact of climate change, investors are increasingly considering a company's ESG performance before investing. This study highlights the correlation between carbon emissions and energy prices, and its implications for both the environment and the economy. Therefore。

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