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• W4295956903 abstract "Carbon market attracts much attention due to its unique statue of promoting the transformation and development of low-carbon economy. In this paper, we investigate the multidimensional risk spillover effects among carbon, energy and nonferrous metals markets, and also examine the portfolio diversification. The quantile VAR network framework and GARCHSK model are applied. We find that: (i)There are significant risk spillover effects among carbon, energy and nonferrous metal market with prominent dynamic characteristics, while the risk spillover under different dimensions shows apparent differences. (ii)According to the findings based on network structure features, the Coal market becomes the core market of carbon-energy-nonferrous system, and the position of carbon trading market is significantly weakened when the market is downturn. (iii) In their portfolios, the nonferrous metals assets are preferred over carbon and energy, investors should adjust the portfolio structure and hedge positions according to market conditions. These findings have important implications for investors to construct diversified portfolios and regulators to formulate risk regulation policies." @default.
• W4295956903 created "2022-09-16" @default.
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• W4295956903 date "2022-10-01" @default.
• W4295956903 modified "2023-09-30" @default.
• W4295956903 title "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network" @default.
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• W4295956903 doi "https://doi.org/10.1016/j.eneco.2022.106319" @default.
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