Higher-order and cross-moment spillovers among emerging technology, sustainable investing and traditional financial markets: Insights from multi-dimensional driving factors

The contemporary financial system is increasingly shaped by the interplay between emerging technologies (AI, DeFi), sustainable investing (Biodiversity, Climate Transition ESG), and traditional markets (equity, commodity). While volatility connectedness is well studied, the transmission of extreme and asymmetric risks (skewness, kurtosis) and their cross-moment interactions remain underexplored. This study examines higher-order and cross-moment spillovers among these markets from June 2019 to July 2025, covering the COVID-19 pandemic, the Russia-Ukraine war, and Middle Eastern conflicts. Using an Autoregressive Conditional Density (ARCD) model integrated with a Time-Varying Parameter Vector Autoregression (TVP-VAR) frequency connectedness framework, we extract time-varying conditional moments and decompose spillovers across horizons. We find that sustainable and equity markets act as persistent net transmitters of risk, while AI, DeFi, and commodities are net receivers. Cross-moment spillovers, particularly from volatility to kurtosis, dominate, revealing a hierarchical risk structure where volatility shocks amplify tail-risk perceptions. Spillovers intensify sharply during crises, especially COVID-19, while geopolitical risk and market fear (VIX) emerge as persistent drivers, and climate risks exert limited, episodic influence. These findings carry important implications for investors seeking tail-risk diversification and policymakers addressing systemic financial stability. • Examines risk spillovers among tech, sustainable, and traditional markets • Uses novel ARCD and TVP-VAR frequency connectedness framework • Reveals volatility drives skewness and kurtosis during crises • Sustainable and equity markets are net transmitters of spillovers • Provides insights into tech forecasting and sustainable finance policy