Spillover in higher‐order moments across carbon and energy markets: A portfolio view
研究了欧盟碳配额、布伦特原油、天然气、煤炭、电力和清洁能源市场在条件波动率、偏度和峰度之间的溢出效应，发现考虑高阶矩能改善投资组合表现。
Abstract Motivated 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.