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Measuring contagion between energy market and stock market during financial crisis: A copula approach
Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy Economics 34 (2012) 5, pp. 1435-1446
In this paper, we apply time-varying copulas to investigate whether a contagion effect existed between energy and stock … dependence between crude oil and stock markets after the failure of Lehman Brothers, thus supporting the existence of contagion … the paired markets. This indicates that significant increases in tail dependence are an actual dimension of the contagion …
Persistent link: https://www.econbiz.de/10010593867
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Oil and US dollar exchange rate dependence: A detrended cross-correlation approach
Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Energy Economics 42 (2014) C, pp. 132-139
crisis for all time scales, thereby providing evidence of both contagion and interdependence. This empirical evidence has …
Persistent link: https://www.econbiz.de/10010752926
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Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market
Chang, Kuang-Liang - In: Energy Economics 34 (2012) 1, pp. 294-306
This study employs a flexible regime-switching EGARCH model with Student-t distributed error terms to investigate whether volatility regimes and basis affect the behavior of crude oil futures returns, including the conditional mean, variance, skewness, kurtosis as well as the extent of...
Persistent link: https://www.econbiz.de/10010868713
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Modeling EU allowances and oil market interdependence. Implications for portfolio management
Reboredo, Juan C. - In: Energy Economics 36 (2013) C, pp. 471-480
with interdependence and no contagion effects between the EUA and crude oil markets. The implication of this result for EUA …
Persistent link: https://www.econbiz.de/10010868771
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Forecasting carbon futures volatility using GARCH models with energy volatilities
Byun, Suk Joon; Cho, Hangjun - In: Energy Economics 40 (2013) C, pp. 207-221
This article examines the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model. Based on the results, we document that GARCH-type models perform better than an...
Persistent link: https://www.econbiz.de/10010868786
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Energy risk management through self-exciting marked point process
Herrera, Rodrigo - In: Energy Economics 38 (2013) C, pp. 64-76
Crude oil is a dynamically traded commodity that affects many economies. We propose a collection of marked self-exciting point processes with dependent arrival rates for extreme events in oil markets and related risk measures. The models treat the time among extreme events in oil markets as a...
Persistent link: https://www.econbiz.de/10010665583
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The COVID-19 Storm and the Energy Sector : The Impact and Role of Uncertainty
Szczygielski, Jan; Brzeszczynski, Janusz; Charteris, Ailie - 2021
Prior research has shown that energy sector stock prices are impacted by uncertainty. The coronavirus (COVID-19) pandemic has given rise to widespread health and economic-related uncertainty. In this study, we investigate the impact and the timing of the impact of COVID-19 related uncertainty on...
Persistent link: https://www.econbiz.de/10013235458
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Wavelet dynamics for oil-stock world interactions
Madaleno, Mara; Pinho, Carlos - In: Energy Economics 45 (2014) C, pp. 120-133
findings by providing more generalized and convincing results, in analyzing contagion and interdependence issues as well as …
Persistent link: https://www.econbiz.de/10010939438
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Persistence and cycles in historical oil price data
Gil-Alana, Luis A.; Gupta, Rangan - In: Energy Economics 45 (2014) C, pp. 511-516
This paper deals with the analysis of two observed features in historical oil price data; in particular, persistence and cyclicity. Using monthly data from September 1859 to October 2013, we observe that the series presents two peaks in the spectrum, one occurring at the long run or zero...
Persistent link: https://www.econbiz.de/10010939454
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Do oil prices predict economic growth? New global evidence
Narayan, Paresh Kumar; Sharma, Susan; Poon, Wai Ching; … - In: Energy Economics 41 (2014) C, pp. 137-146
In this paper, we test whether oil price predicts economic growth for 28 developed and 17 developing countries. We use predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity. Our analysis considers a large number of countries,...
Persistent link: https://www.econbiz.de/10010729329