The advent of COVID-19 has markedly affected financial and energy markets. Clean energy positions itself as a feasible substitute for fossil fuels, and the crisis has altered the interdependence of these two counterpart markets. This study uses quantile cross-spectral analysis to investigate the dependence structure features of the fossil and clean energy markets, pre- and post-COVID-19 outbreak, under various market conditions and across different investment horizons. Empirical results suggest an anomalous intensification or inversion in the interaction between fossil and clean energy under extreme market conditions post-COVID-19 outbreak, manifesting either an extraordinarily high or low dependency. Additionally, the asset dependence structure exhibits increased heterogeneity across investment horizons after the COVID-19 outbreak, with short-term structures demonstrating higher volatility, while medium- and long-term structures show similarity. Finally, by generating a dynamic energy portfolio, this paper measures the investment allocation weights of each asset before and after the emergence of COVID-19. Findings indicate an increased need for investment in natural gas, crude oil, and clean energy post-COVID-19 outbreak, suggesting a reduction in coal investment. The analyses aim to assist energy investors in enhancing their economic decision-making processes and refining their portfolio management strategies.

中文翻译：

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检查化石能源和清洁能源之间的分位数交叉相关性：依赖结构是否随着 COVID-19 的爆发而变化？

COVID-19 的出现显着影响了金融和能源市场。清洁能源将自己定位为化石燃料的可行替代品，而这场危机改变了这两个对应市场的相互依赖关系。本研究使用分位数交叉谱分析来调查化石能源和清洁能源市场在 COVID-19 爆发前后、不同市场条件和不同投资期限下的依赖结构特征。实证结果表明，在 COVID-19 爆发后的极端市场条件下，化石能源和清洁能源之间的相互作用出现异常强化或倒置，表现出极高或极低的依赖性。此外，在COVID-19爆发后，资产依赖结构在不同投资期限内呈现出更大的异质性，短期结构表现出更高的波动性，而中长期结构则表现出相似性。最后，本文通过生成动态能源投资组合，衡量了COVID-19出现前后各资产的投资配置权重。调查结果表明，新冠肺炎 (COVID-19) 疫情爆发后，对天然气、原油和清洁能源的投资需求增加，这表明煤炭投资有所减少。这些分析旨在帮助能源投资者加强其经济决策过程并完善其投资组合管理策略。