Ando, T. ; Greenwood-Nimmo, M. ; Shin, Y. Quantile connectedness: modeling tail behavior in the topology of financial networks. 2022 Manag. Sci.. 68 2401-2431
Baruník, J. ; Křehlík, T. Measuring the frequency dynamics of financial connectedness and systemic risk. 2018 J. Financ. Econ.. 16 271-296
Bouri, E. ; Lei, X. ; Xu, Y. ; Zhang, H. Connectedness in implied higher-order moments of precious metals and energy markets. 2023 Energy. 263 -
Bruninx, K. ; Ovaere, M. COVID-19, green Deal and recovery plan permanently change emissions and prices in EU ETS phase IV. 2022 Nat. Commun.. 13 1165-
Chai, S. ; Zhou, P. The minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. 2018 Energy Econ.. 76 64-75
- Chatziantoniou, I. ; Abakah, E.J.A. ; Gabauer, D. ; Tiwari, A.K. Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets. 2022 J. Clean. Prod.. 361 -
Paper not yet in RePEc: Add citation now
Chen, J. ; Liang, Z. ; Ding, Q. ; Liu, Z. Extreme spillovers among fossil energy, clean energy, and metals markets: evidence from a quantile-based analysis. 2022 Energy Econ.. 107 -
Chen, P. ; Vivian, A. ; Ye, C. Forecasting carbon futures price: a hybrid method incorporating fuzzy entropy and extreme learning machine. 2022 Ann. Oper. Res.. 313 559-601
Chulia, H. ; Furio, D. ; Uribe, J.M. Volatility spillovers in energy markets. 2019 Energy J.. 40 173-197
Dai, X. ; Xiao, L. ; Wang, Q. ; Dhesi, G. Multiscale interplay of higher-order moments between the carbon and energy markets during phase III of the EU ETS. 2021 Energy Policy. 156 -
Daskalakis, G. ; Symeonidis, L. ; Markellos, R.N. Electricity futures prices in an emissions constrained economy: evidence from European power markets. 2015 Energy J.. 36 1-33
Ding, H. ; Ji, Q. ; Ma, R. ; Zhai, P. High-carbon screening out: a DCC-MIDAS-climate policy risk method. 2022 Financ. Res. Lett.. 47 -
Ding, Q. ; Huang, J. ; Zhang, H. Time-frequency spillovers among carbon, fossil energy and clean energy markets: the effects of attention to climate change. 2022 Int. Rev. Financ. Anal.. 83 -
Ding, Q. ; Huang, J.B. ; Chen, J.Y. Time-frequency spillovers and the determinants among fossil energy, clean energy and metal markets. 2023 Energy J.. 44 259-285
- Fuller, D.W.A. Distribution of the estimators for autoregressive time series with a unit root. 1979 J. Am. Stat. Assoc.. 79 355-367
Paper not yet in RePEc: Add citation now
Gong, X. ; Zhao, M. ; Wu, Z. ; Jia, K. ; Xiong, X. Research on tail risk contagion in international energy markets—the quantile time-frequency volatility spillover perspective. 2023 Energy Econ.. 121 -
Hoque, M.E. ; Soo-Wah, L. ; Billah, M. Time-frequency connectedness and spillover among carbon, climate, and energy futures: determinants and portfolio risk management implications. 2023 Energy Econ.. 127 -
- Ji, Q. ; Zhang, D. ; Geng, J. Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets. 2018 J. Clean. Prod.. 198 972-978
Paper not yet in RePEc: Add citation now
- Jiang, W. ; Zhu, P. ; Korkmaz, A.G. ; Zhou, H. The asymmetric nexus between the cryptocurrency market and the carbon market: evidence from the quantile-on-quantile method. 2024 J. Climat. Finan.. 7 -
Paper not yet in RePEc: Add citation now
León, Á. ; Rubio, G. ; Serna, G. Autoregressive conditional volatility, skewness and kurtosis. 2005 Q. Rev. Econ. Finance. 45 599-618
Li, Z. ; Li, Y. ; Huang, C. ; Peculea, A.D. Volatility spillover across Chinese carbon markets: evidence from quantile connectedness method. 2023 Energy Econ.. 119 -
Liu, J. ; Zhang, Z. ; Yan, L. ; Wen, F. Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model. 2021 Financ. Innov.. 7 76-
Mensi, W. ; Hammoudeh, S. ; Shahzad, S. ; Shahbaz, M. Modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition-based copula method. 2017 J. Bank. Financ.. 75 258-279
Naeem, M.A. ; Peng, Z. ; Suleman, M.T. ; Nepal, R. ; Shahzad, S.J.H. Time and frequency connectedness among oil shocks, electricity and clean energy markets. 2020 Energy Econ.. 91 -
Perino, G. New EU ETS phase 4 rules temporarily puncture waterbed. 2018 Nat. Clim. Chang.. 8 262-264
Sias, R. ; Starks, L.T. ; Turtle, H.J. The negativity bias and perceived return distributions: evidence from a pandemic. 2023 J. Financ. Econ.. 147 627-657
Song, X. ; Wang, D. ; Zhang, X. ; He, Y. ; Wang, Y. A comparison of the operation of China's carbon trading market and energy market and their spillover effects. 2022 Renew. Sust. Energ. Rev.. 168 -
Song, Y. ; Liu, T. ; Liang, D. ; Li, Y. ; Song, X. A fuzzy stochastic model for carbon price prediction under the effect of demand-related policy in China’s carbon market. 2019 Ecol. Econ.. 157 253-265
Stranlund, J.K. ; Murphy, J.J. ; Spraggon, J.M. ; Zirogiannis, N. Tying enforcement to prices in emissions markets: an experimental evaluation. 2019 J. Environ. Econ. Manag.. 98 -
Su, C. ; Pang, L. ; Qin, M. ; Lobonţ, O. ; Umar, M. The spillover effects among fossil fuel, renewables and carbon markets: evidence under the dual dilemma of climate change and energy crises. 2023 Energy. 274 -
Tan, X. ; Sirichand, K. ; Vivian, A. ; Wang, X. How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. 2020 Energy Econ.. 90 -
Tian, T. ; Lai, K. ; Wong, C.W.Y. Connectedness mechanisms in the “carbon-commodity-finance” system: investment and management policy implications for emerging economies. 2022 Energy Policy. 169 -
Vellachami, S. ; Hasanov, A.S. ; Brooks, R. Risk transmission from the energy markets to the carbon market: evidence from the recursive window approach. 2023 Int. Rev. Financ. Anal.. 89 -
Wang, J. ; Guo, X. ; Tan, X. ; Chevallier, J. ; Ma, F. Which exogenous driver is informative in forecasting European carbon volatility: bond, commodity, stock or uncertainty?. 2023 Energy Econ.. 117 -
Wang, K. ; Wang, Z. ; Yunis, M. ; Kchouri, B. Spillovers and connectedness among climate policy uncertainty, energy, green bond and carbon markets: a global perspective. 2023 Energy Econ.. 128 -
Wang, M. ; Zhou, P. Impact of permit allocation on cap-and-trade system performance under market power. 2020 Energy J.. 41 215-232
Wu, X. ; Jiang, Z. Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events. 2023 Energy Econ.. 126 -
- Zhang, Q. ; Wei, R. Carbon reduction attention and financial market stress: a network spillover analysis based on quantile VAR modeling. 2024 J. Environ. Manag.. 356 -
Paper not yet in RePEc: Add citation now
Zhang, W. ; He, X. ; Hamori, S. The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: evidence from lower and higher order moments. 2023 Int. Rev. Financ. Anal.. 89 -
Zhao, W. ; Zhai, X. ; Ji, Q. ; Liu, Z. Measuring crisis from climate risk spillovers in European electricity markets. 2024 Energy Econ.. 134 -
Zhou, P. ; Wang, M. Carbon dioxide emissions allocation: a review. 2016 Ecol. Econ.. 125 47-59
Zhou, Y. ; Wu, S. ; Liu, Z. ; Rognone, L. The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets. 2023 Nat. Commun.. 14 7157-
Zhou, Y. ; Wu, S. ; Zhang, Z. Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: evidence from the quantile VAR network. 2022 Energy Econ.. 114 -
Zhu, B.Z. ; Ye, S.X. ; He, K.J. ; Chevallier, J. ; Xie, R. Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach. 2019 Ann. Oper. Res.. 281 373-395