碳中和股票与相关市场间的风险溢出效应研究
Journal: Economics DOI: 10.12238/ej.v8i9.2922
Abstract
本文基于TVP-VAR溢出指数模型,对碳中和股票市场、有色金属市场和碳市场间的高阶矩风险溢出效应进行实证研究。研究发现,高阶矩溢出效应具有频域的可变性,溢出效应随着投资期限的增加而上升,市场的高阶矩风险溢出效应的角色存在频段异质性。
Keywords
高阶矩风险溢出效应;TVP-VAR溢出指数;碳中和
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