How Does the Time-Varying Network Structure Evolve between the EU Carbon Futures Prices and Industrial and Energy-Related Indices? A Study Based on a Time-Varying T-Copula
Table 1
Descriptive statistics and ADF smoothness test.
Variable
Statistics
ADF
Skewness
Kurtosis
JB-prob
-statistic
Prob
Conclusion
EUA
-1.0573
18.7284
0.001
-52.546862
0.001
Smooth
MSCI developed/energy I
-1.2329
26.8546
0.001
-48.089773
0.001
Smooth
MSCI global/energy I
-1.3529
26.7261
0.001
-46.716946
0.001
Smooth
MSCI emerging/energy I
-1.2891
17.1093
0.001
-43.907300
0.001
Smooth
DJIA
-0.98025
26.3163
0.001
-58.088587
0.001
Smooth
WTI
0.096774
26.2674
0.001
-50.369561
0.001
Smooth
Note: ,,, indicating that it is significant at the significance level of 1%, 5% and 10%.