2024
DOI: 10.3389/fenvs.2024.1499743
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Geopolitical, economic risk and the time-varying structure of extreme risk in the carbon emissions trading market

Junlong Mi,
Xing Yang,
Feifei Huang
et al.

Abstract: Amidst global climate challenges, carbon emission trading has become the most important market-based environmental policy tool, attracting widespread attention for mitigating price volatility caused by extreme risks. This study applies the multivariate multi-quantile conditional autoregressive value-at-risk (MVMQ-CAVIaRX) model to measure extreme market risk and modifies the Diebold Yilmaz (DY) spillover index calculated using the time-varying parameter vector autoregressive model with exogenous variables (TVP… Show more

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