Spillover in higher‐order moments across carbon and energy markets: A portfolio view

Ahmed, Rizwan, Bouri, Elie, Hosseini, Seyedmehdi ORCID: https://orcid.org/0000-0002-9443-3960 and Hussain Shahzad, Syed J. 2024. Spillover in higher‐order moments across carbon and energy markets: A portfolio view. European Financial Management 30 (5) , pp. 2556-2595. 10.1111/eufm.12482

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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.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Additional Information:	License information from Publisher: LICENSE 1: URL: http://creativecommons.org/licenses/by/4.0/
Publisher:	Wiley
ISSN:	1354-7798
Date of First Compliant Deposit:	9 February 2024
Date of Acceptance:	2 January 2024
Last Modified:	17 Dec 2024 13:58
URI:	https://orca.cardiff.ac.uk/id/eprint/166216

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