Does Cutting Carbon Emissions Reduce Tail Risk Spillovers? A Quantile LSTM‐KAN‐CoVaR Approach
提出分位数LSTM‐KAN模型，研究欧洲期货市场中碳排放与尾部风险溢出的关系，发现高排放显著增加欧盟配额和低碳权益期货接收的尾部风险溢出。
ABSTRACT This paper evaluates the association between carbon emissions and tail‐risk spillovers in European futures markets. We propose an innovative quantile LSTM‐KAN model to capture the time‐varying, nonlinear dynamics of tail‐risk spillover networks. Using data from 29 EU futures markets, we find that tail‐risk spillovers increase significantly during key events, including the 2016 Brexit referendum and the 2020 COVID‐19 pandemic. Oil, natural gas, and EU allowance futures play central roles as recipients of tail risk, whereas bond and low‐carbon futures exert tail‐risk spillovers on other markets. In addition, we analyze the impact of emissions on tail‐risk spillovers. Higher emissions significantly increase the tail‐risk spillovers received by EU allowance futures and low‐carbon equity futures. In low‐volatility periods, emissions increase the spillovers transmitted from oil and gas sector futures to other markets. In high‐volatility periods, they intensify the tail‐risk spillovers received by crude oil futures.