The contagion of extreme risks between fossil and green energy markets: evidence from China
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DOI: 10.1080/14697688.2024.2339374
Abstract: This paper combines the Generalized Autoregressive Conditional Heteroskedasticity-Extreme Value Theory-Value at Risk (GARCH-EVT-VaR) method in conjunction with the Time-Varying Parameter Diebold-Yilmaz (TVP-VAR-DY) model to investigate the contagion of extreme risks between fossil and green energy… read more here.
Keywords: energy; risks fossil; green energy; extreme risks ... See more keywords