Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets

Gazi Uddin, Jose Areola Hernandez, Syed Jawad Hussain Shahzad and Axel Hedström
Additional contact information
Jose Areola Hernandez: ESC [Rennes] - ESC Rennes School of Business

Post-Print from HAL

Abstract: In a first step, we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil, natural gas, ethanol, heating oil, coal and gasoline using canonical vine (C-vine) copula and c-vine conditional Value-at-Risk (CoVaR). In the second step, we formulate portfolio strategies based on different performance measures to analyze the risk reduction and diversification potential of carbon assets for energy commodities. We identify greater exposure to losses arising from investments in heating oil and ethanol markets. We also find evidence of carbon asset providing diversification benefits to energy commodity investments. These findings motivate for regulatory adjustments in the trading and emission permits for the energy markets most strongly diversified by carbon assets.

Keywords: Carbon assets; Energy commodities; Tail dependence; Risk spillover (search for similar items in EconPapers)
Date: 2018-03
References: Add references at CitEc
Citations: View citations in EconPapers (52)

Published in Energy Economics, 2018, 71, pp.35-46. ⟨10.1016/j.eneco.2018.01.035⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets (2018)
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: https://EconPapers.repec.org/RePEc:hal:journl:hal-01996386

DOI: 10.1016/j.eneco.2018.01.035

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().