Dynamic connectedness in the higher moments between clean energy and oil prices
研究发现清洁能源股票与石油价格之间的关联不仅存在于波动率，还存在于偏度和峰度等更高阶矩，且这种关联随时间变化，在市场不确定时更强，为投资者提供了对冲石油风险的新视角。
Focusing on clean energy stocks and oil prices, we find that connectedness between these assets not only exists in volatility, but also at higher-order moments, such as skewness and kurtosis , which have been largely under studied in the existing literature. Estimating the connectedness using intra-day data, our initial static analyses suggest that the connectedness between the clean energy and oil markets is heterogenous across the moments and the shock transmitter/recipient role played by each market varies across moments. Further dynamic analyses indicate that higher-order moment connectedness is also time varying and appears to be stronger during uncertain market conditions. In addition, we identify day-of-the-week patterns of higher-order moment connectedness during high uncertainty periods, but these patterns appear to be reversed during low uncertainty periods. The employment of Markov switching regression models further corroborates the market uncertainties as the determinants of higher-order moment connectedness. As an important extension, we provide empirical evidence that including clean energy stocks in the investment portfolio can effectively hedge oil price risks and considering higher-order moments in constructing investment strategies adds extra value to investors. Our utility-based hedging strategy and minimum connectedness portfolio can offer higher utility gains and better risk-return trade-offs to those investors who are not infinitely risk-averse.