Economics at your fingertips  

Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach

Huthaifa Sameeh Alqaralleh, Ahmad Al-Saraireh and Alessandra Canepa ()
Additional contact information
Huthaifa Sameeh Alqaralleh: Department of Economics, Business and Finance, Mutah University, Jordan,
Ahmad Al-Saraireh: Department of Banking and Finance, Mutah University, Jordan

International Journal of Energy Economics and Policy, 2021, vol. 11, issue 5, 130-137

Abstract: This study contributes to the literature on energy market risk management and portfolio management by examining co-movements between several energy commodities in a portfolio context in light of the impact of several types of uncertainty over time and under high, medium, and low frequencies. Using of wavelet decomposition analysis, we first investigate the lead-lag relationship together with the power of the correlation over time between major renewable and non-renewable energy indexes and uncertainty indexes. Second, we explore the contribution of uncertainty to the energy portfolio. Our procedure reveals that a dependent relationship generally exists between energy returns and changes in uncertainty. The risks of clean energy and crude oil returns are more sensitive to financial uncertainties, whereas investing in GAS markets offers market diversification opportunities during periods of energy uncertainty.

Keywords: VaR Based on Wavelet Approach; Energy market, Uncertainty (search for similar items in EconPapers)
JEL-codes: C58 E44 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

International Journal of Energy Economics and Policy is currently edited by Ilhan Ozturk

More articles in International Journal of Energy Economics and Policy from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().

Page updated 2021-12-23
Handle: RePEc:eco:journ2:2021-05-17