Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective
Finance Research Letters
; : 103990, 2023.
Article
in English
| ScienceDirect | ID: covidwho-2314068
ABSTRACT
This paper conducts tail risk spillover and systemic importance analysis based on the firm-level data of global clean energy system. The tail risk network is constructed based on the ΔCoVaR method, where the correlation is calculated from three perspectives market, sector and institution. Moreover, the systematically important institutions are identified through a PageRank-based approach. We find that two industries contribute the largest in the risk transmission process, and most of the identified important institutions come from these industries as well. Also, it is observed that the COVID-19 pandemic and the Russia–Ukraine conflict would render different impacts on the risk contagion.
Full text:
Available
Collection:
Databases of international organizations
Database:
ScienceDirect
Type of study:
Prognostic study
Language:
English
Journal:
Finance Research Letters
Year:
2023
Document Type:
Article
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