Baoshuai Zhang, and Jia You
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GIRSK model; quantile time-frequency model; spillover effect
Risk spillover between financial markets is an important direction of financial risk research, which helps to identify and prevent financial risks. This article examines the spillover effects among the carbon market, oil, new energy, and precious metals from a multidimen- sional and time-frequency perspective. It achieves this by employing the GJRSK model and the quantile time-frequency linkage method. The primary focus is on inspecting the alterations in market risk spillover effects during extreme market conditions. The study re- veals that noteworthy risk spillovers exist among the carbon market, oil, new energy, and precious metals, short-term risk spillovers sur- pass long-term risk spillovers. Furthermore, the spillovers among markets under different market conditions are heterogeneous, with significantly stronger risk spillovers observed during extreme upward and downward market conditions compared to normal states. More- over, the risk spillovers in different dimensions exhibit an asymmetric status and display tail dependence.
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