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Keywords: Minimum spillover portfolio
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Journal Articles
Does CEA or EUA matter for major commodity markets? Fresh evidence from the analysis of information spillovers and portfolio diversification
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2026) 16 (2): 329–372.
Published: 25 June 2024
..., the inclusion of agricultural and metal commodities in a carbon-oriented portfolio may potentially compromise its performance. Finally, our results underscore the pronounced advantage of minimum spillover portfolios; particularly those that designed minimize net pairwise volatility spillover, in the context...
