{"title":"量子时频关联性与投资组合多样化:清洁能源和金属市场研究","authors":"Jue Wang , Yuqin Zhou , Shan Wu","doi":"10.1016/j.renene.2024.121917","DOIUrl":null,"url":null,"abstract":"<div><div>Severe climate change has accelerated the shift towards renewable energy sources. In this study, we explore the spillover effects and portfolio diversification between clean energy and metal markets, using the quantile time-frequency analysis. Our analysis incorporates the quantile frequency connectedness framework, MODWT method, and DCC approach. The findings reveal the following key insights: (i) There exists significant spillover between clean energy and metal markets, characterized by dynamic patterns. Short-term spillover effects are particularly pronounced, contributing the most to overall connectivity. Interestingly, the conditional median-based measure underestimates spillover levels in extreme market conditions.(ii) Clean energy and base metal markets emerge as the primary net transmitters, while other strategic metal markets mainly act as net receivers.(iii) Optimal portfolio allocation for investors in clean energy metal portfolios suggests a higher proportion of wind energy assets compared to clean and solar energy assets. It is also recommended that investors adjust their portfolio structure and hedge positions according to market conditions. These findings carry crucial implications for investors and regulators in shaping their investment strategies and policies in response to the changing dynamics of clean energy and metal markets.</div></div>","PeriodicalId":419,"journal":{"name":"Renewable Energy","volume":"238 ","pages":"Article 121917"},"PeriodicalIF":9.0000,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Quantile time-frequency connectedness and portfolio diversification: A study of clean energy and metal markets\",\"authors\":\"Jue Wang , Yuqin Zhou , Shan Wu\",\"doi\":\"10.1016/j.renene.2024.121917\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>Severe climate change has accelerated the shift towards renewable energy sources. In this study, we explore the spillover effects and portfolio diversification between clean energy and metal markets, using the quantile time-frequency analysis. Our analysis incorporates the quantile frequency connectedness framework, MODWT method, and DCC approach. The findings reveal the following key insights: (i) There exists significant spillover between clean energy and metal markets, characterized by dynamic patterns. Short-term spillover effects are particularly pronounced, contributing the most to overall connectivity. Interestingly, the conditional median-based measure underestimates spillover levels in extreme market conditions.(ii) Clean energy and base metal markets emerge as the primary net transmitters, while other strategic metal markets mainly act as net receivers.(iii) Optimal portfolio allocation for investors in clean energy metal portfolios suggests a higher proportion of wind energy assets compared to clean and solar energy assets. It is also recommended that investors adjust their portfolio structure and hedge positions according to market conditions. These findings carry crucial implications for investors and regulators in shaping their investment strategies and policies in response to the changing dynamics of clean energy and metal markets.</div></div>\",\"PeriodicalId\":419,\"journal\":{\"name\":\"Renewable Energy\",\"volume\":\"238 \",\"pages\":\"Article 121917\"},\"PeriodicalIF\":9.0000,\"publicationDate\":\"2024-11-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Renewable Energy\",\"FirstCategoryId\":\"5\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0960148124019852\",\"RegionNum\":1,\"RegionCategory\":\"工程技术\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ENERGY & FUELS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Renewable Energy","FirstCategoryId":"5","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0960148124019852","RegionNum":1,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ENERGY & FUELS","Score":null,"Total":0}
Quantile time-frequency connectedness and portfolio diversification: A study of clean energy and metal markets
Severe climate change has accelerated the shift towards renewable energy sources. In this study, we explore the spillover effects and portfolio diversification between clean energy and metal markets, using the quantile time-frequency analysis. Our analysis incorporates the quantile frequency connectedness framework, MODWT method, and DCC approach. The findings reveal the following key insights: (i) There exists significant spillover between clean energy and metal markets, characterized by dynamic patterns. Short-term spillover effects are particularly pronounced, contributing the most to overall connectivity. Interestingly, the conditional median-based measure underestimates spillover levels in extreme market conditions.(ii) Clean energy and base metal markets emerge as the primary net transmitters, while other strategic metal markets mainly act as net receivers.(iii) Optimal portfolio allocation for investors in clean energy metal portfolios suggests a higher proportion of wind energy assets compared to clean and solar energy assets. It is also recommended that investors adjust their portfolio structure and hedge positions according to market conditions. These findings carry crucial implications for investors and regulators in shaping their investment strategies and policies in response to the changing dynamics of clean energy and metal markets.
期刊介绍:
Renewable Energy journal is dedicated to advancing knowledge and disseminating insights on various topics and technologies within renewable energy systems and components. Our mission is to support researchers, engineers, economists, manufacturers, NGOs, associations, and societies in staying updated on new developments in their respective fields and applying alternative energy solutions to current practices.
As an international, multidisciplinary journal in renewable energy engineering and research, we strive to be a premier peer-reviewed platform and a trusted source of original research and reviews in the field of renewable energy. Join us in our endeavor to drive innovation and progress in sustainable energy solutions.