Dependence and risk spillover effects between clean energy stocks and related assets——an empirical study based on asymmetric W-TVP-VAR model

With the escalation of global climate change and deepening financial market integration, the interdependence between traditional and emerging markets has significantly increased. The linkage and risk transmission across markets are crucial for financial system stability and development. This study focuses on clean energy and related market indices from 2013 to 2023, integrating wavelet transform with the TVP-VAR model to construct an asymmetric W-TVP-VAR model. Key findings include: First, it unifies multiple markets (clean energy, traditional energy, metals, green bonds, and climate bonds) for a comprehensive time-frequency correlation and information spillover analysis. Second, it considers asymmetric risk contagion and spillover effects, aiding informed risk hedging decisions and targeted policy formulation. Third, it explores risk spillover from a frequency-domain perspective, addressing market heterogeneity and multiple time scales, providing valuable insights for investors and regulators.