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- W4306322294 abstract "In recent years, climate change has attracted great attention from governments and promoted the booming of the new energy market indirectly. However, this market will be influenced by traditional energy, rare earth and technology markets. Hence, it is necessary to incorporate these markets into an analytical framework simultaneously and analyse their relationships. Based on the GARCH-vine-copula-EVT model considering extreme risks, we investigate the connectedness between crude oil, coal, rare earth, new energy, and technology markets. The results show that the technology market is most closely associated with the new energy market; the rare earth market reacts as an intermediary market between the new energy market and fossil fuel markets. When taking the rare earth market as the conditional market, the connectedness between the new energy and the other four markets weakens and even becomes negative. Besides, we find that the COVID-19 epidemic has increased the connectedness between these target markets. Finally, the backtesting results of value at risk and expected shortfall show that the GARCH-vine-copula-EVT model considering extreme risks can depict the risk dependence structure between these target markets well. Our study has important reference significance for market participants, risk managers and investors." @default.
- W4306322294 created "2022-10-16" @default.
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- W4306322294 date "2022-10-16" @default.
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- W4306322294 title "Connectedness between crude oil, coal, rare earth, new energy and technology markets: a GARCH-vine-copula-EVT analysis" @default.
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- W4306322294 doi "https://doi.org/10.1080/00036846.2022.2129572" @default.
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