Table 1 Static variance spillovers using the DY 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

EUA

78.25

6.04

1.35

3.38

0.43

2.12

1.57

0.76

0.38

1.10

3.36

1.26

1.81

Oil

6.16

69.54

0.45

1.20

4.09

7.59

5.48

0.60

0.75

0.26

2.91

0.97

2.54

Gas

7.39

0.65

56.36

14.49

0.74

0.37

2.77

0.78

3.60

2.10

7.93

2.83

3.64

Coal

9.62

0.94

19.44

51.68

1.85

0.65

5.95

0.06

2.33

0.29

5.07

2.12

4.03

Gold

5.10

26.82

0.71

0.96

25.21

36.04

2.18

0.35

0.60

0.50

0.82

0.71

6.23

Silver

0.52

7.71

0.49

0.30

14.35

68.56

1.95

0.57

2.02

0.44

0.74

2.35

2.62

Copper

4.41

18.55

2.11

0.43

0.48

16.00

38.77

1.91

5.76

1.49

8.53

1.55

5.10

Aluminum

4.79

0.54

5.91

12.72

1.88

0.51

5.29

60.23

3.49

0.84

2.71

1.09

3.31

Zinc

5.08

0.33

13.53

14.67

1.06

0.22

12.60

3.13

33.76

0.92

2.97

11.73

5.52

Nickel

4.92

0.35

12.29

19.42

0.70

0.51

2.37

0.86

3.59

46.18

7.51

1.30

4.49

Tin

4.68

2.06

13.23

7.59

1.58

1.00

3.90

7.81

9.44

0.51

41.53

6.66

4.87

Lead

2.20

0.41

2.04

2.58

0.86

2.20

1.93

2.05

15.59

1.06

7.54

61.55

3.20

TO

4.57

5.37

5.96

6.48

2.33

5.60

3.83

1.57

3.96

0.79

4.17

2.72

TCI = 47.37

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