Description:
Going beyond the conventional mean-variance framework, this paper investigates the dynamic higher moment price linkages among carbon, crude oil and financial markets. The analysis is based on a novel Quantile Impulse Response method which can generate the evolution of all moments based on a flexible estimation of dynamic price distribution functions. The results reveal carbon market responds to the shocks of the crude oil and clean energy market at both mean-variance level and higher moment level. However, the effect of carbon market shock is negligible from the perspective of higher moments