Risk spillover measurement of carbon trading market considering susceptible factors: A network perspective
Qingli Dong,
Lanlan Lian,
Qichuan Jiang
Abstract:An objective and robust network‐based data‐driven strategy is proposed to analyze risk spillovers in carbon markets. First, we characterize the causality network between the carbon market and potential associated markets using a data‐driven fuzzy cognitive map approach. Second, network‐based community detection is conducted to explore community structures that include carbon trading markets, and five market factors belonging to the same community as EU Allowances (EUA) are identified. Next, we conduct downside… Show more
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