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Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network
16 references·1 citing·32 second hop
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
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  • 2017Estimating global bank network connectedness637 cited
  • 2016Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets575 cited
  • 2021Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies

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479 cited
  • 2007CO2 Prices, Energy and Weather471 cited
  • 2018Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets385 cited
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    • 2024Spillover in higher‐order moments across carbon and energy markets: A portfolio view30 cited