Volatility Transmission from the Energy Markets to the Carbon Market: Evidence from Recursive Window Estimation

As a novel climate change mitigation mechanism, the carbon market encourages the reduction of carbon emissions in a cost-effective manner, besides serving as an emerging commodity market in financial services. Hence, this thesis examines the volatility transmission from the energy markets (i.e., crude oil, coal, natural gas, and biofuel) to the carbon market in the European framework by employing robust econometric models. The findings of this thesis contribute to the existing carbon market literature and could assist relevant market participants in better understanding the information and risk spillover mechanisms from the energy markets to the carbon market.