Ahmed, Rizwan;
Bouri, Elie;
Hosseini, Seyedmehdi;
Hussain Shahzad, Syed J;
(2024)
Spillover in higher‐order moments across carbon and energy markets: A portfolio view.
European Financial Management
10.1111/eufm.12482.
(In press).
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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.
| Type: | Article |
|---|---|
| Title: | Spillover in higher‐order moments across carbon and energy markets: A portfolio view |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1111/eufm.12482 |
| Publisher version: | http://dx.doi.org/10.1111/eufm.12482 |
| Language: | English |
| Additional information: | 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. © 2024 The Authors. European Financial Management published by John Wiley & Sons Ltd. |
| Keywords: | carbon and energy assets, COVID‐19 outbreak, EU ETS, spillovers of higher moments, war in Ukraine |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > UCL School of Management |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10187274 |
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