Spillover in higher‐order moments across carbon and energy markets: A portfolio view

This is the final version. Available on open access from Wiley via the DOI in this recordData availability statement: The data that support the findings of this study are available on request from the corresponding author.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