Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials are systemically important industries during sample period. Further research dynamic analysis shows ea...

This paper modifies the BEKK-GARCH model based on empirical results of VAR to analyze dynamic volatility spillover effect between European Union allowance (EUA) and certified emissions reduction (CER) markets during second third phases Emission Trading System (EU ETS). The show that (1) an asymmetric exists EUA CER market has a more significant market, (2) becomes weaker in phase III since Comm...

This study compares the dynamic characteristic of Chinese and American energy prices from perspectives learning expectation, volatility, persistence, so on. First, most suitable speeds for are determined price expectations calculated by models. Second, volatility characteristics Granger-spillover effects among different examined using stochastic models based on coefficient significance DIC crit...