Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets
Authors
Gomez-Gonzalez, Jose Eduardo
Hirs-Garzon, Jorge
Uribe, Jorge M.
Editor
Publication date
2020-06-03
Document language
eng
Publisher
Metrics
downloads: 0
abstract_views: 0
Journal Title
Journal ISSN
Volume Title
Abstract
We explore the higher order linkages between energy commodity markets and global financial markets. Our focus is on spillovers of realized good and bad volatilities, realized signed jump variation, realized skewness and realized kurtosis. Our results show that the measurement of risk spillovers is sensitive to the definition of risk used in their construction. Asymmetries between good and bad volatility transmission matter, and results when jumps and higher order risk measures are considered are substantially different from those obtained when traditional volatility measures are used. We provide empirical support for theoretical asset pricing models that conduct the optimization required for portfolio balancing in the mean-variance-skewness space by showing that risk diversification opportunities vary greatly when one considers variance or skewness as the fundamental proxy for risk
Description
Códigos JEL
E44 - Financial Markets and the Macroeconomy, F31 - Foreign Exchange, G01 - Financial Crises, G12 - Asset Pricing; Trading Volume; Bond Interest Rates, G15 - International Financial Markets
item.page.subjectjelspa
Keywords
Energy commodity markets, Risk spillover, Higher order risk measure, LASSO methods
