This paper studies the extreme dependencies among energy, agriculture and metal commodities markets, with an emphasis on local co-movements. By applying a novel, copula-based, local Kendall's tau approach to measure nonlinear local dependence in regions, we identified asymmetric co-movements in...

Since we entered into the 21st century, a new era of energy finance, energy has become a new financial investment vehicle where the electronic information carrier and network platform have played an important role. The arrival of the big data era highlights the important position of information...

This paper introduces a multi-layer network approach to explore risk contagions in a sample of top energy firms in the world. Large energy companies play a very important role in the international energy market. Mapping their responses to different types of shocks provides profound implications...