 Linking the gas and oil markets with the stock market: Investigating the U.S. relationshipPost-Print from HAL Abstract: 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. Keywords: Copula; Dependence structure; Energy commodity; Stock market; Tail risk (search for similar items in EconPapers) Published in Energy Economics, 2016, 53, pp.5--16. ⟨10.1016/j.eneco.2015.05.021⟩ There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01562989 DOI: 10.1016/j.eneco.2015.05.021 Access Statistics for this paper More papers in Post-Print from HAL |
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