Linking the gas and oil markets with the ...
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
Author(s) :
Gatfaoui, Hayette [Auteur]
IÉSEG School Of Management [Puteaux]
Laboratoire d'Economie et de Management [LEM]
IÉSEG School Of Management [Puteaux]
Laboratoire d'Economie et de Management [LEM]
Journal title :
Energy Economics
Pages :
5--16
Publisher :
Elsevier
Publication date :
2016-01
ISSN :
0140-9883
English keyword(s) :
Copula
Dependence structure
Energy commodity
Stock market
Tail risk
Dependence structure
Energy commodity
Stock market
Tail risk
HAL domain(s) :
Sciences de l'Homme et Société/Gestion et management
English abstract : [en]
Energy markets can represent a strategic advantage when they are supporting each other, and specifically when energy segments are complementary enough to support economic development and growth. In this light, a high and ...
Show more >Energy markets can represent a strategic advantage when they are supporting each other, and specifically when energy segments are complementary enough to support economic development and growth. In this light, a high and strategic interest relies on the possible interactions between energy market segments as well as their impact on a given country’s financial market. The proposed research focuses on the interaction between the U.S. natural gas and U.S. crude oil markets on one side and their dependencies with the U.S. stock market on the other side. After controlling for structural changes or breaks, we characterize previous dependencies with the multivariate copula methodology. First, we assess the joint link prevailing between the natural gas and crude oil markets. Then, we characterize the joint risk structure prevailing between previous energy markets and the U.S. stock market. Finally, we assess the joint dependence structure between the natural gas, crude oil and stock markets.Show less >
Show more >Energy markets can represent a strategic advantage when they are supporting each other, and specifically when energy segments are complementary enough to support economic development and growth. In this light, a high and strategic interest relies on the possible interactions between energy market segments as well as their impact on a given country’s financial market. The proposed research focuses on the interaction between the U.S. natural gas and U.S. crude oil markets on one side and their dependencies with the U.S. stock market on the other side. After controlling for structural changes or breaks, we characterize previous dependencies with the multivariate copula methodology. First, we assess the joint link prevailing between the natural gas and crude oil markets. Then, we characterize the joint risk structure prevailing between previous energy markets and the U.S. stock market. Finally, we assess the joint dependence structure between the natural gas, crude oil and stock markets.Show less >
Language :
Anglais
Popular science :
Non
Collections :
Source :