Regional dependence and contagion structure of carbon tail risk

Author:

CHEN Zhang-Hangjian,AN Huixiang,GAO Xiang,KOEDIJK Kees G.,XU Yaping

Funder

Anhui Office of Philosophy and Social Science

National Natural Science Foundation of China

Publisher

Elsevier BV

Reference46 articles.

1. Adrian, T., & Brunnermeier, M.K. (2011). CoVaR. National Bureau of Economic Research Working Paper, No. w17454.

2. Identifying risk transmission in carbon market with energy, commodity and financial markets: Evidence from time-frequency and extreme risk spillovers;Chen;Frontiers in Energy Research,2022

3. Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks;Chen;Humanities and Social Sciences Communications,2023

4. Dynamic risk spillover between the Chinese carbon and international energy markets from extreme weather shocks;Chen;International Review of Economics & Finance,2024

5. Carbon futures and macroeconomic risk factors: A view from the EU ETS;Chevallier;Energy Economics,2009

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