دورية أكاديمية
Spillover in higher‐order moments across carbon and energy markets: A portfolio view
| العنوان: | Spillover in higher‐order moments across carbon and energy markets: A portfolio view |
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| المؤلفون: | Ahmed, R, Bouri, E, Hosseini, S, Shahzad, SJH |
| بيانات النشر: | Wiley |
| سنة النشر: | 2024 |
| المجموعة: | University of Exeter: Open Research Exeter (ORE) |
| مصطلحات موضوعية: | carbon and energy assets, COVID‐19 outbreak, EU ETS, spillovers of higher moments, war in Ukraine |
| الوصف: | This is the final version. Available on open access from Wiley via the DOI in this record ; Data availability statement: The data that support the findings of this study are available on request from the corresponding author. ; Motivated by the occurrence of extreme events and nonnormality of returns, we examine the spillovers among the conditional volatility, skewness and (excess) kurtosis of European Union allowances (EUA), Brent oil, natural gas, coal, electricity and clean energy markets. The jointly estimated spillover index in the system of the three higher-order moments is notably high, exceeding the spillover index estimated for each individual moment separately. This suggests that spillovers across moments in the carbon-energy system are important for the sake of completeness of the spillover analysis, and should not be ignored. The performance of the portfolio improves after considering higher-order moments. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 1354-7798 1468-036X |
| العلاقة: | European Financial Management; Published online 8 February 2024; https://doi.org/10.1111/eufm.12482Test; http://hdl.handle.net/10871/135314Test |
| DOI: | 10.1111/eufm.12482 |
| الإتاحة: | https://doi.org/10.1111/eufm.12482Test http://hdl.handle.net/10871/135314Test |
| حقوق: | © 2024 The Authors. European Financial Management published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. ; https://creativecommons.org/licenses/by/4.0Test/ |
| رقم الانضمام: | edsbas.9E51C4E4 |
| قاعدة البيانات: | BASE |
| تدمد: | 13547798 1468036X |
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| DOI: | 10.1111/eufm.12482 |