Does Cutting Carbon Emissions Reduce Tail Risk Spillovers? A Quantile LSTM‐KAN‐CoVaR Approach

作者：Ziwei Wang, Yibo Liu, Peng Lu · 发表于：Journal of Futures Markets · 年份：2025 · DOI：10.1002/fut.70063 · 研究领域：Market Dynamics and Volatility、Financial Markets and Investment Strategies、Financial Risk and Volatility Modeling

ABSTRACT This paper evaluates the association between carbon emissions and tail‐risk spillovers in European futures markets. We propose an innovative quantile LSTM‐KAN model to capture the time‐varying, nonlinear dynamics of tail‐risk spillover networks. Using data from 29 EU futures markets, we find that tail‐risk spillovers increase significantly during key events, including the 2016 Brexit referendum and the 2020 COVID‐19 pandemic. Oil, natural gas, and EU allowance futures play central roles as recipients of tail risk, whereas bond and low‐carbon futures exert tail‐risk spillovers on other markets. In addition, we analyze the impact of emissions on tail‐risk spillovers. Higher emissions significantly increase the tail‐risk spillovers received by EU allowance futures and low‐carbon equity futures. In low‐volatility periods, emissions increase the spillovers transmitted from oil and gas sector futures to other markets. In high‐volatility periods, they intensify the tail‐risk spillovers received by crude oil futures.