Extreme events and quantile time-frequency volatility connectedness across crude oil, green bonds and low-carbon equity markets

This paper quantifies the static and dynamic volatility connectedness among Chinese and international crude oil prices, green bonds , and low-carbon equity in both time and frequency domains and across quantiles , with a focus on critical extreme spillover effects accompanying extreme events. By introducing novel indicators, the Connectedness Survival Rate (CSR) and Quantile Connectedness Survival Rate (QCSR), we evaluate the stability of connectedness and prove the economic significance of these indicators. Empirical results demonstrate that extreme events significantly amplify the time-varying volatility connectedness, with pronounced aggregation at extreme quantiles. In the mean frequency domain, Chinese green bonds and low-carbon equity exhibit higher independence, effectively serving as short-term and long-term hedging tools, respectively. The connectedness evolves from long-term to short-term under extreme events. The newly introduced indicators reveal high volatility and long-term vulnerability of connectedness during extreme events. Our findings provide essential quantitative references for enhancing the resilience of these markets in times of frequent extreme events. • We analyze volatility connectedness across oil, green bonds, and low-carbon markets in time and frequency domains. • Extreme events amplify volatility connectedness with pronounced aggregation at extreme quantiles. • Chinese green bonds and low-carbon equity markets show greater independence, providing potential hedging opportunities. • The connectedness effect evolves from long-term to short-term under the shock of a series of extreme events. • Our CSR and QCSR indicators reveal long-term vulnerability during extreme events, with implications for risk management.