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Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events
16 references·0 citing·32 second hop
Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events (2023)Time-varying asymmetric volatility spillo…Searching for safe-haven assets during the COVID-19 pandemic (2020)Searching for safe-haven asse…How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)How connected is the carbon m…Asymmetric relationship between carbon emission trading market and stock market: Evidences from China (2020)Asymmetric relationship betwe…Carbon finance and carbon market in China: Progress and challenges (2019)Carbon finance and carbon mar…The dynamic spillover between carbon and energy markets: New evidence (2018)The dynamic spillover between…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets (2018)Information linkage, dynamic …VAR for VaR: Measuring tail dependence using multivariate regression quantiles (2015)VAR for VaR: Measuring tail d…The dynamic volatility spillover between European carbon trading market and fossil energy market (2015)The dynamic volatility spillo…Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)Asymmetric connectedness on t…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2007)Measuring Financial Asset Ret…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)On the Estimation of Security Price Volatilities from Historical Data (1980)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Dynamics of Spillover Effects during the European Sovereign Debt Turmoil (2012)The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is gold a safe haven? International evidence (2010)Financial markets under the global pandemic of COVID-19 (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach (2021)The robustness of identified VAR conclusions about money (1998)Asymmetric volatility connectedness on the forex market (2017)High frequency volatility co-movements in cryptocurrency markets (2019)Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? (2021)
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References

  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 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
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  • 2018Information linkage, dynamic spillovers in prices and volatility between the carbon and energy markets385 cited
  • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles383 cited
  • 2020How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics295 cited
  • 2019Carbon finance and carbon market in China: Progress and challenges287 cited
  • 2015

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The dynamic volatility spillover between European carbon trading market and fossil energy market
280 cited
  • 2018The dynamic spillover between carbon and energy markets: New evidence268 cited
  • 2020Asymmetric relationship between carbon emission trading market and stock market: Evidences from China228 cited
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