Journal of Futures Markets,
Journal Year:
2024,
Volume and Issue:
44(5), P. 699 - 719
Published: Feb. 4, 2024
Abstract
This
study
employs
a
time‐varying
parameter
vector
autoregression
methodology
with
the
Diebold
and
Yilmaz
spillover
index
to
scrutinize
temporal
fluctuations
in
volatility
spillovers
between
Chinese
coal
metal
markets.
The
analysis
is
conducted
from
dual
perspectives
of
security
indices
futures
prices.
findings
reveal
robust
correlation
markets,
market
serving
as
primary
conduit
for
into
market.
Furthermore,
this
investigates
time‐specific
impacts
decommissioning
policies,
COVID‐19
pandemic,
supply
crisis
on
coal–metal
spillovers.
indicate
that
these
three
unique
shocks
significantly
increase
overall
risk
Moreover,
during
exceptional
events,
extent
or
role
undergoes
varying
degrees
change.
On
basis
findings,
article
presents
pertinent
policy
recommendations.
Heliyon,
Journal Year:
2024,
Volume and Issue:
10(8), P. e28976 - e28976
Published: April 1, 2024
The
massive
consumption
of
fossil
energy
has
resulted
in
high
CO2
emissions,
posing
a
formidable
challenge
to
global
sustainable
economic
development
(SED).
As
countries
endeavor
shift
from
clean
sources
achieve
SED,
research
on
the
impact
is
scarce,
and
quantitative
analysis
lacking.
This
study
measured
China's
SED
used
spatial
econometric
model
examine
production
across
30
provinces
China
2008
2020.
Results
show
that
(1)
exhibits
significant
positive
autocorrelation
characteristics,
forming
"point-to-area"
pattern.
(2)
Clean
consumption,
production,
structure
all
contribute
promotion
region
have
spillover
effects.
(3)
A
considerable
regional
disparity
exists
SED.
eastern
central
regions
effects,
whereas
western
opposite.
Notably,
estimated
coefficient
Durbin
relatively
small,
reflecting
ongoing
transition
its
limited
role
promoting
sustainability.
Joint
efforts
differentiated
policies
are
essential
develop
economic.
Borsa Istanbul Review,
Journal Year:
2023,
Volume and Issue:
24(1), P. 137 - 163
Published: Dec. 3, 2023
The
study
investigates
the
tail-risk
spillover
between
markets
for
sukuk
and
conventional
bonds
across
fifteen
countries
2016
2023.
First,
we
estimate
a
time
varying
parameter-value
at
risk
(TVP-VAR)-based
frequency
connectedness
model
to
measure
total,
short-,
long-term
connectedness,
which
address
investment
horizons
of
different
investors.
in
market
is
smaller
all
frequencies
than
bond
market,
might
offer
investors
better
opportunities
diversification.
Dynamic
total
fluctuates
over
time,
proves
that
event
dependent.
Covid-19
crisis
Russia-Ukraine
war
are
main
periods
when
intensified
with
high
uncertainty.
results
this
insights
who
seek
diversification
policy
makers
especially
during
uncertain
economic
conditions.
Journal of Futures Markets,
Journal Year:
2024,
Volume and Issue:
44(5), P. 699 - 719
Published: Feb. 4, 2024
Abstract
This
study
employs
a
time‐varying
parameter
vector
autoregression
methodology
with
the
Diebold
and
Yilmaz
spillover
index
to
scrutinize
temporal
fluctuations
in
volatility
spillovers
between
Chinese
coal
metal
markets.
The
analysis
is
conducted
from
dual
perspectives
of
security
indices
futures
prices.
findings
reveal
robust
correlation
markets,
market
serving
as
primary
conduit
for
into
market.
Furthermore,
this
investigates
time‐specific
impacts
decommissioning
policies,
COVID‐19
pandemic,
supply
crisis
on
coal–metal
spillovers.
indicate
that
these
three
unique
shocks
significantly
increase
overall
risk
Moreover,
during
exceptional
events,
extent
or
role
undergoes
varying
degrees
change.
On
basis
findings,
article
presents
pertinent
policy
recommendations.
