Interconnectedness and time-frequency spillover effects in crude oil, green finance and non-ferrous metal Markets: A high moments analysis

This paper investigates the spillover effects of high moments, including volatility, skewness, and kurtosis, in the crude oil, green finance and non-ferrous metal markets in the time-frequency domain. We employ spillover methods by Diebold and Yilmaz (2012) and Baruník and Křehlík (2018), together with the GARCHSK higher-moment model, to analyze the interconnectedness among these markets. Our study reveals several key findings: Firstly, spillover effects diminish as higher-order moments are considered, with significant spillovers concentrated at lower frequencies. Secondly, spillovers exhibit time-varying characteristics, with heightened intensity during turbulent period. Thirdly, the net spillover roles of individual markets vary by frequency and moment type, indicating asymmetry in spillover effects. For example, lead and nickel act as primary net transmitters, except for volatility spillovers over short- and medium-term periods, while ESG market serves as a net transmitter, excluding skewness spillovers at lower frequencies. Lastly, constructing portfolios that include green financial assets or oil assets alongside non-ferrous metal assets can effectively reduce portfolio risk. This work offers valuable insights for investors aiming to build balanced portfolios and for regulators designing effective risk management strategies.