1. Spillover in higher‐order moments across carbon and energy markets: A portfolio view.
- Author
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Ahmed, Rizwan, Bouri, Elie, Hosseini, Seyedmehdi, and Hussain Shahzad, Syed J.
- Subjects
RUSSIAN invasion of Ukraine, 2022- ,ENERGY industries ,CLEAN energy ,PORTFOLIO performance ,NATURAL gas ,VOLATILITY (Securities) - Abstract
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. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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