Replication Package for "Climate Shocks and Extreme Risk Transmission in the Carbon-Energy Nexus"

This replication package contains all the necessary data, R scripts, and step-by-step instructions to reproduce the tables and figures presented in the manuscript "Climate Shocks and Extreme Risk Transmission in the Carbon-Energy Nexus". The estimation includes the dynamic Peaks-over-Threshold (dPOT) model and the TVP-VAR connectedness approach.