Motivated by the occurrence of extreme events and nonnormality of returns, we examine the spillovers among the conditional volatility, skewness and (excess) kurtosis of European Union allowances (EUA), Brent oil, natural gas, coal, electricity and clean energy markets. The jointly estimated spillover index in the system of the three higher-order moments is notably high, exceeding the spillover index estimated for each individual moment separately. This suggests that spillovers across moments in the carbon-energy system are important for the sake of completeness of the spillover analysis, and should not be ignored. The performance of the portfolio improves after considering higher-order moments.

中文翻译：

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碳和能源市场高阶时刻的溢出：投资组合观点

受极端事件发生和非正态回报的推动，我们研究了欧盟配额（EUA）、布伦特石油、天然气、煤炭、电力和清洁能源市场的条件波动性、偏度和（超额）峰度之间的溢出效应。三个高阶矩系统中联合估计的溢出指数明显较高，超过了对每个单独时刻单独估计的溢出指数。这表明，为了溢出分析的完整性，碳能源系统中各个时刻的溢出非常重要，不应被忽视。考虑高阶矩后，投资组合的性能得到改善。