Abstract
This paper examines the short-, medium-, and long-run dependence structures for all distribution quantiles among carbon emissions prices, crude oil prices, natural gas prices, and geopolitical risks in Brazil, China, India, Russia, and South Africa from January 2003 to September 2019. The paper utilises the volatility spillover approach of Diebold-Yilmaz to identify the dependence structure among crude oil prices, natural gas prices, carbon emissions prices, and geopolitical risks within the variational mode decomposition-based copula method. It is observed that dependence structure across geopolitical risks and oil prices is time and frequency varying. It is also found that the dependence structure across geopolitical risks and oil prices is positive and valid at different periods and quantiles. The evidence has policy implications for hedging and portfolio risk diversification strategies and policymakers.
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