Systemic Risk in the Global Energy Sector: Structure, Determinants and Portfolio Management Implications
Author
Abstract
Suggested Citation
DOI: 10.5547/01956574.44.6.ssha
Download full text from publisher
References listed on IDEAS
- Jozef BarunÃk & Evžen KoÄ enda b,a & Lukáš Vácha, 2016.
"Volatility Spillovers Across Petroleum Markets,"
The Energy Journal, , vol. 37(1), pages 136-158, January.
- Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
- Jozef Barunik & Evzen Kocenda & Lukas Vacha, 2014. "How does bad and good volatility spill over across petroleum markets?," Papers 1405.2445, arXiv.org.
- Jozef Baruni & Evzen Kocenda & Lukas Vacha, 2015. "Volatility spillovers across petroleum markets," William Davidson Institute Working Papers Series wp1093, William Davidson Institute at the University of Michigan.
- Tomohiro Ando & Matthew Greenwood-Nimmo & Yongcheol Shin, 2022. "Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks," Management Science, INFORMS, vol. 68(4), pages 2401-2431, April.
- Nikkinen, Jussi & Rothovius, Timo, 2019. "Energy sector uncertainty decomposition: New approach based on implied volatilities," Applied Energy, Elsevier, vol. 248(C), pages 141-148.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Joanna Górka & Katarzyna Kuziak, 2024. "Dynamic Connectedness Among Alternative and Conventional Energy ETFs Based on the TVP-VAR Approach," Energies, MDPI, vol. 17(23), pages 1-29, November.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
- Greenwood-Nimmo, Matthew & Kočenda, Evžen & Nguyen, Viet Hoang, 2024.
"Detecting statistically significant changes in connectedness: A bootstrap-based technique,"
Economic Modelling, Elsevier, vol. 140(C).
- Matthew Greenwood-Nimmo & Evžen KoÄ enda & Viet Hoang Nguyen, 2019. "Does the Spillover Index Reflect Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Melbourne Institute Working Paper Series wp2019n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2021. "Does the Spillover Index Respond Significantly to Systemic Shocks? A Bootstrap-Based Probabilistic Analysis," Working Papers IES 2021/29, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2021.
- Matthew Greenwood-Nimmo & Evzen Kocenda & Viet Hoang Nguyen, 2024. "Detecting Statistically Significant Changes in Connectedness: A Bootstrap-based Technique," CAMA Working Papers 2024-51, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Matthew Greenwood-Nimmo & Evžen Kocenda & Viet Hoang Nguyen, 2023. "Does the Spillover Index Respond to Adverse Shocks? A Bootstrap-Based Probabilistic Analysis," CESifo Working Paper Series 10668, CESifo.
- Doğan, Buhari & Ben Jabeur, Sami & Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins, 2025. "Asymmetry in returns and volatility between green financial assets, sustainable investments, clean energy, and international stock markets," Research in International Business and Finance, Elsevier, vol. 73(PA).
- Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
- Aysan, Ahmet Faruk & Batten, Jonathan & Gozgor, Giray & Khalfaoui, Rabeh & Nanaeva, Zhamal, 2024. "Metaverse and financial markets: A quantile-time-frequency connectedness analysis," Research in International Business and Finance, Elsevier, vol. 72(PB).
- Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
- Ouyang, Zisheng & Zhou, Xuewei & Wang, Gang-jin & Liu, Shuwen & Lu, Min, 2024. "Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 909-928.
- Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
- Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
- Ghaemi Asl, Mahdi & Ben Jabeur, Sami & Ben Zaied, Younes, 2024. "Analyzing the interplay between eco-friendly and Islamic digital currencies and green investments," Technological Forecasting and Social Change, Elsevier, vol. 208(C).
- Apergis, Nicholas & Baruník, Jozef & Lau, Marco Chi Keung, 2017. "Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?," Energy Economics, Elsevier, vol. 66(C), pages 108-115.
- Lei, Heng & Xue, Minggao & Ye, Jing, 2024. "The nexus between ReFi, carbon, fossil energy, and clean energy assets: Quantile time–frequency connectedness and portfolio implications," Energy Economics, Elsevier, vol. 132(C).
- Ouyang, Zisheng & Zhou, Xuewei & Lu, Min & Liu, Ke, 2024. "Imported financial risk in global stock markets: Evidence from the interconnected network," Research in International Business and Finance, Elsevier, vol. 69(C).
- Togonidze, Sophio & Kočenda, Evžen, 2022.
"Macroeconomic responses of emerging market economies to oil price shocks: An analysis by region and resource profile,"
Economic Systems, Elsevier, vol. 46(3).
- Sophio Togonidze & Evzen Kocenda, 2020. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: Analysis by Region and Resource Profile," Working Papers IES 2020/35, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2020.
- Sophio Togonidze & Evžen Kočenda, 2022. "Macroeconomic Responses of Emerging Market Economies to Oil Price Shocks: An Analysis by Region and Resource Profile," FFA Working Papers 4.005, Prague University of Economics and Business, revised 25 Apr 2022.
- Andriosopoulos, Kostas & Galariotis, Emilios & Spyrou, Spyros, 2017.
"Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis,"
Energy Economics, Elsevier, vol. 66(C), pages 217-227.
- Kostas Andriosopoulos & Emilios Galariotis & Spyros Spyrou, 2017. "Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis," Post-Print hal-01578056, HAL.
- Jena, Sangram Keshari & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Hammoudeh, Shawkat, 2022. "The connectedness in the world petroleum futures markets using a Quantile VAR approach," Journal of Commodity Markets, Elsevier, vol. 27(C).
- Jong-Min Kim & Hojin Jung, 2018. "Dependence Structure between Oil Prices, Exchange Rates, and Interest Rates," The Energy Journal, , vol. 39(2), pages 259-280, March.
- Yousaf, Imran & Abrar, Afsheen & Yarovaya, Larisa, 2023. "Decentralized and centralized exchanges: Which digital tokens pose a greater contagion risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
- Ondřej Filip & Karel Janda & Ladislav Krištoufek, 2018. "Ceny biopaliv a souvisejících komodit: analýza s použitím metod minimální kostry grafu a hierarchických stromů [Prices of Biofuels and Related Commodities: an Analysis Using Methods of Minimum Span," Politická ekonomie, Prague University of Economics and Business, vol. 2018(2), pages 218-239.
- Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2020.
"Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets,"
Energy Economics, Elsevier, vol. 92(C).
- Do, Hung & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Working Papers 3-2020, Copenhagen Business School, Department of Economics.
- Hung Do & Rabindra Nepal & Tooraj Jamasb, 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Working Papers EPRG2003, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge.
- Hung Do & Rabindra Nepal & Tooraj Jamasb, 2020. "Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets," CAMA Working Papers 2020-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Do, H. & Nepal, R. & Jamasb, T., 2020. "Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets," Cambridge Working Papers in Economics 2007, Faculty of Economics, University of Cambridge.
More about this item
Keywords
Systemic risk; Energy stock returns; Tail dependence; Network; Portfolio implications; COVID-19 outbreak;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:enejou:v:44:y:2023:i:6:p:211-243. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.