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Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis

Sayı: 126 24 Eylül 2026
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Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis

Öz

This study examines the sensitivity of low-carbon equity indices in developed and emerging markets to global market uncertainty, oil price volatility, and inflation expectations. In the analysis, we employ the wavelet quantile correlation approach, which decomposes the dependence structure across investment horizons and market conditions, and we dynamically extend both the wavelet quantile correlation framework and the quantile beta measures derived from wavelet quantile correlation through a rolling-window methodology to move beyond static correlation analysis. The empirical findings reveal that developed market low-carbon indices exhibit stronger negative dependence on global market uncertainty, particularly in the VIX channel, whereas the DM-EM distinction in the OVX channel is less systematic over time. The dynamic results further show that dependence and exposure vary across quantiles and over time, while the T5YIE channel exhibits a more heterogeneous dynamic pattern. Overall, the results show that the diversification benefits of low-carbon assets vary depending on market conditions, investment horizon, and the level of market development.

Anahtar Kelimeler

Low Carbon Indices, Global risk factors, Dynamic Wavelet Quantile Correlation (DWQC), Dynamic Wavelet Quantile Beta (DWQB).

Kaynakça

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Kaynak Göster

APA
Gökgöz, H. (2026). Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis. Maliye ve Finans Yazıları, 126, 196-223. https://doi.org/10.33203/mfy.1884547
AMA
1.Gökgöz H. Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis. Maliye ve Finans Yazıları. 2026;(126):196-223. doi:10.33203/mfy.1884547
Chicago
Gökgöz, Halilibrahim. 2026. “Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis”. Maliye ve Finans Yazıları, sy 126: 196-223. https://doi.org/10.33203/mfy.1884547.
EndNote
Gökgöz H (01 Eylül 2026) Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis. Maliye ve Finans Yazıları 126 196–223.
IEEE
[1]H. Gökgöz, “Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis”, Maliye ve Finans Yazıları, sy 126, ss. 196–223, Eyl. 2026, doi: 10.33203/mfy.1884547.
ISNAD
Gökgöz, Halilibrahim. “Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis”. Maliye ve Finans Yazıları. 126 (01 Eylül 2026): 196-223. https://doi.org/10.33203/mfy.1884547.
JAMA
1.Gökgöz H. Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis. Maliye ve Finans Yazıları. 2026;:196–223.
MLA
Gökgöz, Halilibrahim. “Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis”. Maliye ve Finans Yazıları, sy 126, Eylül 2026, ss. 196-23, doi:10.33203/mfy.1884547.
Vancouver
1.Halilibrahim Gökgöz. Asymmetric Risk Sensitivity of Low-Carbon Assets: Dynamic Wavelet Quantile Correlation and Beta Analysis. Maliye ve Finans Yazıları. 01 Eylül 2026;(126):196-223. doi:10.33203/mfy.1884547