Table 2 Static variance spillovers using the BK model (%)

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

 

EUA

Oil

Gas

Coal

Gold

Silver

Copper

Aluminum

Zinc

Nickel

Tin

Lead

FROM

Panel A: Frequency 1 (High frequency): 1day to 22 days

EUA

34.68

0.95

0.29

0.75

0.32

0.49

0.80

0.27

0.03

0.19

0.31

0.60

0.42

Oil

0.75

15.47

0.02

0.02

0.12

0.06

2.21

0.30

0.29

0.03

0.72

0.49

0.42

Gas

0.43

0.03

20.05

0.72

0.05

0.02

0.07

0.51

0.91

0.33

2.30

0.66

0.50

Coal

0.11

0.01

0.48

3.50

0.02

0.02

0.14

0.04

0.01

0.03

0.03

0.02

0.08

Gold

0.07

0.32

0.00

0.01

1.87

0.29

0.12

0.05

0.06

0.07

0.04

0.05

0.09

Silver

0.08

0.20

0.03

0.01

2.39

8.41

0.19

0.03

0.10

0.08

0.04

0.05

0.27

Copper

0.07

0.14

0.02

0.03

0.02

0.06

1.79

0.13

0.25

0.17

0.22

0.23

0.11

Aluminum

0.35

0.10

0.09

0.84

0.34

0.07

1.01

41.53

2.36

0.35

1.36

0.56

0.62

Zinc

0.04

0.00

0.03

0.41

0.16

0.04

0.01

0.33

1.99

0.12

0.78

0.69

0.22

Nickel

0.16

0.02

0.48

0.20

0.10

0.02

0.32

0.38

0.76

20.74

1.37

0.19

0.33

Tin

0.44

0.12

1.28

0.54

0.83

0.34

0.59

4.65

5.11

0.26

20.33

3.60

1.48

Lead

0.53

0.05

0.27

0.27

0.37

0.99

1.13

1.42

8.11

0.71

4.15

33.58

1.50

TO_ABS

0.25

0.16

0.25

0.32

0.39

0.20

0.55

0.68

1.50

0.20

0.94

0.60

TCI = 6.03

Panel B: Frequency 2 (Low frequency): 22 days to infinity

EUA

43.57

5.09

1.06

2.63

0.11

1.63

0.77

0.48

0.36

0.91

3.05

0.66

1.40

Oil

5.40

54.08

0.44

1.18

3.97

7.53

3.27

0.30

0.46

0.23

2.18

0.47

2.12

Gas

6.96

0.62

36.31

13.76

0.69

0.35

2.69

0.27

2.69

1.77

5.63

2.17

3.13

Coal

9.51

0.94

18.97

48.18

1.82

0.63

5.81

0.03

2.32

0.25

5.03

2.11

3.95

Gold

5.03

26.51

0.71

0.95

23.34

35.75

2.06

0.30

0.54

0.43

0.78

0.67

6.14

Silver

0.45

7.51

0.45

0.29

11.96

60.14

1.77

0.54

1.92

0.36

0.70

2.30

2.35

Copper

4.34

18.41

2.09

0.41

0.46

15.94

36.99

1.79

5.51

1.32

8.31

1.32

4.99

Aluminum

4.44

0.44

5.82

11.88

1.55

0.44

4.28

18.70

1.13

0.49

1.35

0.53

2.70

Zinc

5.05

0.33

13.50

14.26

0.90

0.18

12.58

2.80

31.78

0.80

2.19

11.04

5.30

Nickel

4.76

0.33

11.81

19.22

0.60

0.49

2.05

0.48

2.83

25.43

6.14

1.11

4.15

Tin

4.24

1.94

11.94

7.05

0.75

0.66

3.31

3.17

4.33

0.25

21.20

3.06

3.39

Lead

1.68

0.36

1.77

2.31

0.49

1.21

0.80

0.63

7.48

0.35

3.39

27.97

1.70

TO_ABS

4.32

5.21

5.71

6.16

1.94

5.40

3.28

0.90

2.46

0.60

3.23

2.12

TCI = 41.34

  1. The table presents the static spillover connectedness based on the BK model. We provide the total spillover index (denoted by the term “TCI”), the directional spillover received (denoted by “FROM”), and transmitted (denoted by “TO_ABS”) by each market. The jk th value is the directional connectedness from k to j.
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