Applying DII to EUA returns, the authors find IBEX35 and coal futures are the most robust causal drivers, with some non-linear links that Granger causality misses.
Forty years of oil price fluctuations: Why the price of oil may still surprise us.Journal of Economic Perspectives , 30(1):139–60, February 2016
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Non-parametric Causal Discovery for EU Allowances Returns Through the Information Imbalance
Applying DII to EUA returns, the authors find IBEX35 and coal futures are the most robust causal drivers, with some non-linear links that Granger causality misses.