The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach
We consider directional volatility connectedness among energy markets and financial markets over time and frequencies simultaneously during the period 2007–2018. We utilize and expand Barunik and Krehlik (J Financ Econom 16:271-296, 2018) connectedness measurements using HVAR in order to achieve a b...
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| Veröffentlicht in: | Computational economics 2022-03, Vol.59 (3), p.1087-1111 |
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| container_title | Computational economics |
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| creator | Bagheri, Ehsan Ebrahimi, Seyed Babak Mohammadi, Arman Miri, Mahsa Bekiros, Stelios |
| description | We consider directional volatility connectedness among energy markets and financial markets over time and frequencies simultaneously during the period 2007–2018. We utilize and expand Barunik and Krehlik (J Financ Econom 16:271-296, 2018) connectedness measurements using HVAR in order to achieve a better perspective of energy markets. Our results indicate that during a crisis, the connectedness among markets increases dramatically. Furthermore, our findings support that markets are mostly driven by short-term factors and are highly speculative. Among energy markets, Natural Gas Futures contribute the least to other markets in all time frames. Besides, London Gas Oil Futures and Heating Oil Futures collaborate. Currencies and Natural Gas Futures are suitable choices for portfolio managers to hedge their risks especially in the long run. The findings of this article can offer new insights to policymakers about the mechanism of connectedness among different markets and international investors. |
| doi_str_mv | 10.1007/s10614-021-10120-x |
| format | Article |
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| subjects | Behavioral/Experimental Economics Computer Appl. in Social and Behavioral Sciences Connectedness Currencies Economic Theory/Quantitative Economics/Mathematical Methods Economics Economics and Finance Energy industry Futures Gas oil Heating Markets Math Applications in Computer Science Natural gas Operations Research/Decision Theory Petroleum Policy making Securities markets Volatility |
| title | The Dynamic Volatility Connectedness Structure of Energy Futures and Global Financial Markets: Evidence From a Novel Time–Frequency Domain Approach |
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