期刊论文

Huang, Y

英文

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE

1062-9408

2025

76

102354

10.1016/j.najef.2024.102354

CRediT authorship contribution statement Hao Wu: Writing – original draft, Software, Methodology, Data curation, Conceptualization. Yuan Huang: Validation, Supervision, Methodology, acquisition. This work was supported by the National Social Science Fund of China [Grant No. 23BGL093], the General Self-Funded Project of Hunan Social Science Achievement Review Committee [Grant No. XSP22YBC512], the Key Scientific Research Project of Hunan Provincial Department of Education [Grant No. 23A0239], the Scientific Research Project of Department of Education of Hunan Province [Grant No. 21A0184] and the Natural Science Foundation of Changsha City (Grant No. KQ2208239).

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The carbon, energy, and metal markets are intricately interconnected, and clarifying their relationships is crucial for promoting sustainable development. This paper explores the risk transmission mechanism of carbon, energy and metal markets, as well as portfolio diversification. The quantile frequency framework and portfolio strategy are employed. Our empirical results indicate that the spillover effect is particularly pronounced in bearish and bullish markets. The connectedness of the carbon-energy-metal system is time-varying and cyclical, with short-term effects dominating. Moreover, the ...