Fig. 5: The impact of climate physical risk (PRI) on total spillovers (TCI). | Nature Communications

Fig. 5: The impact of climate physical risk (PRI) on total spillovers (TCI).

From: The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets

Fig. 5: The impact of climate physical risk (PRI) on total spillovers (TCI).

The z-axis represents the estimation of the slope β1(θ,τ) (see Eq. 19) which captures the effect of the τ th quantile of PRI on the θ th quantile of TCI. The colors in the color bar on the right represent the strengths of correlations. “Overall spillovers” is the dynamic total spillover index of the DY model. The “short-term” and “long-term” is the dynamic frequency connectedness on band:3.14 to 0.14 and 0.14 to 0 of BK model, respectively. Top panels show the volatility, skewness, and kurtosis spillover effects in different frequencies, such as “Volatility (short-term)” represents the coefficients got by the impact of PRI on TCI in the short-term horizon based on QQ model.

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