Measuring Nonlinear Spillovers among Carbon Allowances, Fuel Futures and Energy Equities with a Hybrid LSTM and TVP-VAR Estimator
This paper introduces a hybrid estimator combining LSTM networks with a moving-window covariance approach to analyze nonlinear spillovers among carbon allowances, fuel futures, and energy equities, finding that while it yields lower average system-wide spillover levels than a conventional TVP-VAR model, it maintains a consistent hierarchy of shock transmission where clean energy equities lead and coal absorbs the most shocks.
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