期刊论文

Yin, Zhujia(yinzhujia@csust.edu.cn)

英文

Energy Economics

0140-9883

2023

118

106511

10.1016/j.eneco.2023.106511

Social Science Achievements Expert Evaluation Committee Major Project of Hunan Province [XSP22ZDA001]; National Natural Science Foundation of China [71771030, 72171027]; Natural Science Foundation of Hunan Province [2021JJ30025]; Ministry of Education Humanities and Social Sciences Project; Graduate Student Innovation and Entrepreneurship Program of Changsha University of Science and Technology [22YJA790011]; New power market intelligent management interdisciplinary team of Changsha University of Science and Technology; [CXCLY2022135]

本校为第一机构

This paper combines quantile regression with time-varying vector autoregressive (TVP − VAR) model to study extreme spillover effects among high carbon emission stocks, green bond and WTI crude oil from April 21, 2010 to March 25, 2022. The results display a static total spillover index of approximately 49% at the conditional mean and conditional median estimates; while about 83% under the left tail and right tail estimates. The quantile-based spillover model is better than the mean-based one, because the former better captures the risk contagi...