Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits

This study investigates the connectedness between renewable energy cryptocurrencies and various energy categories, focusing on extreme downside risk or tail risk. The research employs a novel framework that combines the CAViaR model with the TVP-VAR based connectedness approach to analyze the system...

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Tác giả chính:	Muhammad Abubakr Naeem
Đồng tác giả:	Thi Thu Ha Nguyen
Định dạng:	Journal Article
Ngôn ngữ:	English
Thông tin xuất bản:	Elsevier 2023
Chủ đề:	Green cryptocurrencies Energy markets Tail risk spillovers CAViaR TVP-VAR
Truy cập trực tuyến:	https://digital.lib.ueh.edu.vn/handle/UEH/70168 https://doi.org/10.1016/j.frl.2023.104263
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spelling	oai:localhost:UEH-701682023-11-29T08:44:31Z Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits Muhammad Abubakr Naeem Thi Thu Ha Nguyen Sitara Karim Brian M. Lucey Green cryptocurrencies Energy markets Tail risk spillovers CAViaR TVP-VAR This study investigates the connectedness between renewable energy cryptocurrencies and various energy categories, focusing on extreme downside risk or tail risk. The research employs a novel framework that combines the CAViaR model with the TVP-VAR based connectedness approach to analyze the systematic tail risk transmission mechanisms. The study covers a period from January 2, 2018, to January 25, 2023, and reveals that Solar and WILDERHILL clean energy markets had the highest risk levels. Conversely, clean energy cryptocurrencies like GARID, POWR, and SNC demonstrated stable tail risk over time, offering diversification benefits, particularly in relation to energy metals and fossil fuels. The study identified strong intra-class connectedness clusters and highlighted extreme risk spillovers during crisis periods through time-varying trends. Several implications for policymakers, investors, and financial market participants are suggested. 2023-11-29T08:44:31Z 2023-11-29T08:44:31Z 2023 Journal Article 1544-6123 https://digital.lib.ueh.edu.vn/handle/UEH/70168 https://doi.org/10.1016/j.frl.2023.104263 en FINANCE RESEARCH LETTERS Vol. 58 none Portable Document Format (PDF) Elsevier
institution	Đại học Kinh tế Thành phố Hồ Chí Minh
collection	DSpaceUEH
language	English
topic	Green cryptocurrencies Energy markets Tail risk spillovers CAViaR TVP-VAR
spellingShingle	Green cryptocurrencies Energy markets Tail risk spillovers CAViaR TVP-VAR Muhammad Abubakr Naeem Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits
description	This study investigates the connectedness between renewable energy cryptocurrencies and various energy categories, focusing on extreme downside risk or tail risk. The research employs a novel framework that combines the CAViaR model with the TVP-VAR based connectedness approach to analyze the systematic tail risk transmission mechanisms. The study covers a period from January 2, 2018, to January 25, 2023, and reveals that Solar and WILDERHILL clean energy markets had the highest risk levels. Conversely, clean energy cryptocurrencies like GARID, POWR, and SNC demonstrated stable tail risk over time, offering diversification benefits, particularly in relation to energy metals and fossil fuels. The study identified strong intra-class connectedness clusters and highlighted extreme risk spillovers during crisis periods through time-varying trends. Several implications for policymakers, investors, and financial market participants are suggested.
author2	Thi Thu Ha Nguyen
author_facet	Thi Thu Ha Nguyen Muhammad Abubakr Naeem
format	Journal Article
author	Muhammad Abubakr Naeem
author_sort	Muhammad Abubakr Naeem
title	Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits
title_short	Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits
title_full	Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits
title_fullStr	Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits
title_full_unstemmed	Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits
title_sort	extreme downside risk transmission between green cryptocurrencies and energy markets: the diversification benefits
publisher	Elsevier
publishDate	2023
url	https://digital.lib.ueh.edu.vn/handle/UEH/70168 https://doi.org/10.1016/j.frl.2023.104263
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Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits

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