Data for “From Oil to Carbon: Structural Breaks and Risk Transmission in Carbon and Energy Futures”

Overview
This dataset contains daily price and return series for three key markets over December 1, 2008 to December 31, 2020: Brent crude oil futures (fossil energy benchmark), European Renewable Energy Index (ERIX) (clean energy performance proxy), and EU Allowance (EUA) carbon futures (European carbon market benchmark). The data are used to examine time-varying dependence, tail dependence, and volatility spillovers across the carbon–oil–clean energy system.
Data sources
Brent crude oil futures: collected from the U.S. Energy Information Administration (EIA) petroleum price database.
Clean energy market (ERIX): retrieved from Bloomberg. ERIX tracks renewable energy firms with substantial exposure to at least one of the following clusters: marine, geothermal, wind, water, biofuels, and solar. Constituents are selected among the largest and most liquid eligible firms, and weights combine fixed component weights with market-value-based weights.
Carbon market (EUA): the EUA futures contract is used (rather than spot) and collected from Wind (sourced from ECX/ICE listings).
Contract and sample construction
Why EUA futures instead of spot: spot prices can be more volatile and reflect short-term supply-demand conditions, while futures incorporate forward-looking price discovery and can better represent the market’s valuation of carbon scarcity.
Sample window choice: the sample starts on December 1, 2008 to avoid the EU ETS Phase I, whose EUA return dynamics differ materially from later phases due to regulatory and trading mechanism changes, and to maintain data availability consistency across series. The sample covers EU ETS Phases II and III.
Continuous EUA series: a continuous carbon futures price series is constructed using daily settlement prices from December-expiry EUA contracts (Dec08 through Dec20). For each calendar year, the settlement prices of the corresponding December delivery contract are used to form a continuous daily series.
Data processing and variables
Frequency: daily observations.
How to interpret and use the dataset
Brent represents the global fossil-energy benchmark widely used in pricing and risk management.
ERIX captures market valuation of listed renewable energy firms and can be used as a clean-energy proxy.
EUA futures represent the forward price of carbon allowances in the European emissions trading system and are suitable for analyses that require forward-looking carbon pricing information.
Researchers can use these series to replicate dependence and spillover analyses, test alternative models (e.g., different copulas, regime definitions, or volatility specifications), or extend the system with additional assets and macro factors.

### 数据集概览
本数据集涵盖2008年12月1日至2020年12月31日期间三大核心市场的每日价格与收益序列，分别为布伦特原油期货（Brent crude oil futures，化石能源基准）、欧洲可再生能源指数（European Renewable Energy Index, ERIX，清洁能源表现代理指标）以及欧盟配额（EU Allowance, EUA）碳期货（欧洲碳市场基准）。本数据集用于探究碳-原油-清洁能源系统内的时变相依性、尾部相依性与波动溢出效应。

## 数据来源
1. 布伦特原油期货（Brent crude oil futures）：数据采集自美国能源信息署（U.S. Energy Information Administration, EIA）石油价格数据库。
2. 清洁能源市场（ERIX）：数据取自彭博（Bloomberg）。ERIX追踪至少涉足以下至少一类细分领域的可再生能源企业：海洋能、地热能、风能、水能、生物燃料以及太阳能。其成分股从符合条件的大型且流动性充足的企业中遴选，权重由固定成分权重与基于市值的权重共同构成。
3. 碳市场（EUA）：本数据集采用欧盟配额期货合约（而非现货合约），数据来自万得（Wind，数据源为ECX/ICE挂牌合约）。

## 合约与样本构建
### 为何选用EUA期货而非现货
现货价格波动性更强，仅反映短期供需状况，而期货合约包含前瞻性价格发现功能，能够更精准地体现市场对碳稀缺性的估值。
### 样本窗口选择
样本起始日期设定为2008年12月1日，旨在规避欧盟碳排放交易体系（EU ETS）第一阶段：由于监管与交易机制的变革，该阶段的EUA收益动态与后续阶段存在显著差异。同时该选择也保障了各序列的数据可得性一致性。本样本覆盖欧盟碳排放交易体系（EU ETS）第二与第三阶段。
### 连续EUA序列构建
我们采用2008年12月至2020年12月到期的EUA期货合约的每日结算价，构建连续碳期货价格序列。每个日历年均使用对应12月交割合约的结算价格，以形成连续的每日价格与收益序列。

## 数据处理与变量说明
数据频率：每日观测值。

## 数据集解读与使用说明
布伦特原油期货作为全球化石能源定价基准，广泛应用于定价与风险管理场景。
ERIX反映上市可再生能源企业的市场估值，可作为清洁能源市场表现的代理指标。
EUA期货代表欧盟碳排放交易体系中碳配额的远期价格，适用于需要前瞻性碳定价信息的分析研究。
研究人员可利用本序列复现相依性与溢出效应分析，测试各类替代模型（例如不同的Copula函数、状态划分方式或波动率设定），或通过新增资产与宏观因子拓展该研究系统。