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Spillover in higher-order moments across carbon and energy markets: a portfolio view

Ahmed, Rizwan, Bouri, E., Hosseini, Seyedmehdi, Shahzad, Syed Jawad Hussain (2024) Spillover in higher-order moments across carbon and energy markets: a portfolio view. European Financial Management, . ISSN 1354-7798. (doi:10.1111/eufm.12482) (KAR id:104855)

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Motivated by the occurrence of extreme events and non-normality 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
DOI/Identification number: 10.1111/eufm.12482
Uncontrolled keywords: Spillovers of higher moments; Carbon and Energy assets; EU ETS; COVID-19 outbreak; War in Ukraine
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Funders: University of Kent (
Depositing User: Rizwan Ahmed
Date Deposited: 03 Feb 2024 14:53 UTC
Last Modified: 09 Feb 2024 15:20 UTC
Resource URI: (The current URI for this page, for reference purposes)

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