2024
DOI: 10.1002/ese3.1907
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Research on the risk spillover effect of carbon emission trading market and various industry markets in China and the European Union

Hua Cui,
Yixin Fan,
Juchao Li

Abstract: Widely concerns over the carbon emission problems have been aroused. Prior studies have documented the correlation between the carbon emission market and industries separately. This study compared the tail risks and risk spillover effect of the carbon emission and 11 industries markets in China and the European Union (EU) by using the multivariate multi‐quartile conditional autoregressive at‐risk model. Moreover, to evaluate the risk spillover of each market under extreme risk conditions in time domain and fre… Show more

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