Linking the gas and oil markets with the ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Linking the gas and oil markets with the stock market: Investigating the U.S. relationship
Auteur(s) :
Gatfaoui, Hayette [Auteur]
Laboratoire d'Economie et de Management [LEM]
IÉSEG School Of Management [Puteaux]

Laboratoire d'Economie et de Management [LEM]
IÉSEG School Of Management [Puteaux]
Titre de la revue :
Energy Economics
Pagination :
5--16
Éditeur :
Elsevier
Date de publication :
2016-01
ISSN :
0140-9883
Mot(s)-clé(s) en anglais :
Copula
Dependence structure
Energy commodity
Stock market
Tail risk
Dependence structure
Energy commodity
Stock market
Tail risk
Discipline(s) HAL :
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >
Lire la suite >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.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
Source :