Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Comment

Giovanni Bonaccolto, Massimiliano Caporin and Matteo Iacopini

Energy Economics, 2024, vol. 132, issue C

Abstract: In this article, we provide a comment on the work of Dai et al. (2023), who introduced the Time-Varying Parameters Quantile Vector Auto Regressive model (TVP-QVAR) to analyze the spillovers between high carbon emission stocks, green bonds, and crude oil. We argue that some peculiar results provided in the study cited above are due to a mismatch between the methodology presented by the authors and the code used to conduct the empirical analysis. We empirically support our claims by applying an approximate methodology to the data shared by Dai et al. (2023).

Keywords: Quantile VAR; Time-varying parameters; Kalman filter; Starting values (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C52 C53 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001774

DOI: 10.1016/j.eneco.2024.107469

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