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Spillover in higher‐order moments across carbon and energy markets: A portfolio view

dc.contributor.authorAhmed, R
dc.contributor.authorBouri, E
dc.contributor.authorHosseini, S
dc.contributor.authorShahzad, SJH
dc.date.accessioned2024-02-15T10:09:16Z
dc.date.issued2024-02-08
dc.date.updated2024-02-14T23:13:13Z
dc.description.abstractMotivated 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.en_GB
dc.identifier.citationPublished online 8 February 2024en_GB
dc.identifier.doihttps://doi.org/10.1111/eufm.12482
dc.identifier.urihttp://hdl.handle.net/10871/135314
dc.language.isoenen_GB
dc.publisherWileyen_GB
dc.rights© 2024 The Authors. European Financial Management published by John Wiley & Sons Ltd. 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.en_GB
dc.subjectcarbon and energy assetsen_GB
dc.subjectCOVID‐19 outbreaken_GB
dc.subjectEU ETSen_GB
dc.subjectspillovers of higher momentsen_GB
dc.subjectwar in Ukraineen_GB
dc.titleSpillover in higher‐order moments across carbon and energy markets: A portfolio viewen_GB
dc.typeArticleen_GB
dc.date.available2024-02-15T10:09:16Z
dc.identifier.issn1354-7798
dc.descriptionThis is the final version. Available on open access from Wiley via the DOI in this recorden_GB
dc.descriptionData availability statement: The data that support the findings of this study are available on request from the corresponding author.en_GB
dc.identifier.eissn1468-036X
dc.identifier.journalEuropean Financial Managementen_GB
dc.relation.ispartofEuropean Financial Management
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_GB
dcterms.dateAccepted2024-01-02
rioxxterms.versionVoRen_GB
rioxxterms.licenseref.startdate2024-02-08
rioxxterms.typeJournal Article/Reviewen_GB
refterms.dateFCD2024-02-15T10:02:04Z
refterms.versionFCDVoR
refterms.dateFOA2024-02-15T10:09:17Z
refterms.panelCen_GB
refterms.dateFirstOnline2024-02-08


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© 2024 The Authors. European Financial Management published by John Wiley & Sons Ltd. 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.
Except where otherwise noted, this item's licence is described as © 2024 The Authors. European Financial Management published by John Wiley & Sons Ltd. 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.