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Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events

  • Published:2023-12 Issue: Volume:32 Page:100366
  • ISSN:2405-8513
  • Container-title:Journal of Commodity Markets
  • language:en
  • Short-container-title:Journal of Commodity Markets

Author:

Yang Ming-Yuan,Chen ZhanghangjianORCID,Liang Zongzheng,Li Sai-PingORCID

Funder

Anhui Provincial Department of Education

National Natural Science Foundation of China

Henan University of Science and Technology

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference69 articles.

1. The volatility connectedness of the EU carbon market with commodity and financial markets in time- and frequency- domain: The role of the U.S. economic policy uncertainty;Adekoya;Resources Policy,2021

2. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions;Antonakakis;J. Risk Financ. Manag.,2020

3. Antonakakis, N., Gabauer, D., 2017. Refined Measures of Dynamic Connectedness Based on TVP-VAR. MPRA Working Paper No. 78282.

4. Risk spillovers across the energy and carbon markets and hedging strategies for carbon risk;Balcılar;Energy Econ.,2016

5. Measuring the frequency dynamics of financial connectedness and systemic risk;Barunik;J. Financ. Econom.,2018
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