Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets
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