An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between th...An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between the carbon mar-ket and energy market returns.To achieve that,we improve the Diebold-Yilmaz index model by a time-varying vector autoregressive(TVP-VAR)model.In a unified network,our daily dataset includes the closing prices of the Hubei carbon market,Shenzhen carbon market,coal futures,and energy stock index.The findings reveal that both the Hubei and Shen-zhen pilots typically generate net information spillovers on energy futures.In connection with energy stocks,the Hubei carbon market acts as a net receiver,while the Shenzhen carbon market is a net transmitter.Compared with the Hubei pi-lot,the Shenzhen pilot is more tightly connected to the energy markets.Furthermore,the spillovers of the carbon markets exhibit significant asymmetry.In most cases,they have more substantial impacts on the energy markets when the prices of emission allowances rise.The direction and magnitude of asymmetric spillovers across markets vary over time and can be influenced by certain economic or political events.展开更多
综合能源系统(integrated energy system,IES)参与电力现货市场交易时,由于市场供需关系的变化导致交易价格具有不确定性。因此,对综合能源系统运行边际成本进行精细化分析,研究充分利用综合能源系统灵活性资源参与市场的最优调度策略...综合能源系统(integrated energy system,IES)参与电力现货市场交易时,由于市场供需关系的变化导致交易价格具有不确定性。因此,对综合能源系统运行边际成本进行精细化分析,研究充分利用综合能源系统灵活性资源参与市场的最优调度策略。首先,分析了外部现货市场环境下市场价格不确定性典型场景处理方法,并研究了综合能源系统内部多种源荷可调资源及运行成本结构;其次,建立了在电力市场价格不确定性条件下考虑系统边际成本交易优化模型,并提出沙猫群优化算法进行求解。最后,通过对实际案例的仿真验证。结果表明:该策略不仅可以降低IES的运行成本,还能增强其对市场价格不确定性的适应能力,为综合能源系统在电力现货市场环境下的运行提供了新的思路和方法,有助于实现能源系统参与市场调度的经济性和可靠性双重优化。展开更多
基金supported by the National Natural Science Foundation of China(71973001).
文摘An intuitive portrayal of the correlation between the carbon and energy markets is essential for risk control and green financial investment management.In this paper,we investigate the asymmetric spillovers between the carbon mar-ket and energy market returns.To achieve that,we improve the Diebold-Yilmaz index model by a time-varying vector autoregressive(TVP-VAR)model.In a unified network,our daily dataset includes the closing prices of the Hubei carbon market,Shenzhen carbon market,coal futures,and energy stock index.The findings reveal that both the Hubei and Shen-zhen pilots typically generate net information spillovers on energy futures.In connection with energy stocks,the Hubei carbon market acts as a net receiver,while the Shenzhen carbon market is a net transmitter.Compared with the Hubei pi-lot,the Shenzhen pilot is more tightly connected to the energy markets.Furthermore,the spillovers of the carbon markets exhibit significant asymmetry.In most cases,they have more substantial impacts on the energy markets when the prices of emission allowances rise.The direction and magnitude of asymmetric spillovers across markets vary over time and can be influenced by certain economic or political events.
文摘综合能源系统(integrated energy system,IES)参与电力现货市场交易时,由于市场供需关系的变化导致交易价格具有不确定性。因此,对综合能源系统运行边际成本进行精细化分析,研究充分利用综合能源系统灵活性资源参与市场的最优调度策略。首先,分析了外部现货市场环境下市场价格不确定性典型场景处理方法,并研究了综合能源系统内部多种源荷可调资源及运行成本结构;其次,建立了在电力市场价格不确定性条件下考虑系统边际成本交易优化模型,并提出沙猫群优化算法进行求解。最后,通过对实际案例的仿真验证。结果表明:该策略不仅可以降低IES的运行成本,还能增强其对市场价格不确定性的适应能力,为综合能源系统在电力现货市场环境下的运行提供了新的思路和方法,有助于实现能源系统参与市场调度的经济性和可靠性双重优化。
