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Siddique, Md Abubakar; Nobanee, Haitham; Karim, Sitara; Naz, Farah
International review of economics & finance, 07/2023, Letnik: 86Journal Article
The current controversies raised due to cryptocurrency mining and their hazardous impact on the environment have spurred the need of the current study to investigate whether green markets offset the risk of cryptocurrencies and carbon markets. We took five categories of financial markets, for instance, bonds, stocks, commodities, cryptocurrencies, and carbon markets to measure their tail risk at 5% value-at-risk (VaR). Moreover, we employed the novel technique of conditional autoregressive value-at-risk (CAViaR) along with time-varying parameters vector autoregressions (TVP-VAR) to indicate asymmetries among these financial markets. We found strong intra-class connectedness clusters with little interconnectedness among the markets. Subsequently, the time-varying trends highlighted extreme risk spillovers during the crisis times. Our findings offer valid justifications for policymakers, stakeholders, regulators, investors, and financial market participants.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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Povezave do osebnih bibliografij avtorjev | Povezave do podatkov o raziskovalcih v sistemu SICRIS |
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Vir: Osebne bibliografije
in: SICRIS
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