Beyond volatility: Higher-moment spillovers in the green finance- energy-energy metals nexus

: Against the backdrop of accelerating global carbon neutrality and intensifying climate risks, the co-evolution of energy and energy metal markets is reshaping the stability landscape of the green financial system. To address this, we comprehensively employ the GJRSK model and the TVP-VAR frequency connectedness approach to construct a higher-moment time-frequency domain spillover framework for the "energy-green finance-energy metals" system. Furthermore, the quantile-on-quantile regression method is adopted to dynamically investigate the asymmetric impact effects of climate risks on the spillovers within this system. The findings reveal significant risk spillover effects across different dimensions among energy, green finance, and energy metal markets, with higher-moment spillovers being stronger than lower-moment ones. Second, the spillover effects fluctuate over time and intensify during crisis periods, surging particularly during the COVID-19 pandemic and the Russia-Ukraine conflict. Moreover, the impacts of physical/transition climate risks on higher-moment spillovers are generally stronger and exhibit significant heterogeneity across time, frequency, and quantile dimensions. These findings provide valuable insights for investors to optimize asset allocation and for policymakers to guard against systemic risks.