This paper investigates the interconnectedness and risk transmission mechanisms among green financial instruments—including green bonds, green equities, green sukuk, clean energy assets, and green cryptocurrencies—through the lens of higher-order moments: volatility, skewness, and kurtosis. By applying a novel integration of the Generalized Jaynes-Rosenbaum-Skewness-Kurtosis (GJRSK) model with a Time-Varying Parameter VAR (TVP-VAR) and Wavelet Local Multiple Correlation (WLMC) analysis, the study makes several key contributions to the literature. First, it expands the scope of prior work by including a broader range of green asset classes, notably Islamic green finance and eco-focused digital assets, offering a more holistic view of the green finance ecosystem. Second, the research highlights the structural primacy of volatility spillovers but also emphasizes the overlooked role of skewness and kurtosis in capturing asymmetric and tail risks—particularly in crisis periods. Third, the paper identifies dynamic, time- and scale-dependent determinants of spillovers, including oil and equity market volatility, economic policy uncertainty, and climate risk. These findings advance the literature by deepening our understanding of green market systemic risk and offering practical insights for portfolio diversification, regulatory policy, and sustainable investment strategy design.