EconPapers    
Economics at your fingertips  
 

Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets

Jose Gomez-Gonzalez (), Jorge Hirs-Garzon () and Jorge Uribe ()

Working papers from Red Investigadores de Economía

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.

Keywords: Energy commodity markets; Risk spillover; Higher order risk measure; LASSO methods (search for similar items in EconPapers)
JEL-codes: E44 F31 G01 G12 G15 (search for similar items in EconPapers)
Pages: 33
Date: 2020-06
New Economics Papers: this item is included in nep-ene, nep-fmk, nep-mac, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repositorio.redinvestigadores.org/bitstream ... quence=1&isAllowed=y (application/pdf)

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: https://EconPapers.repec.org/RePEc:rie:riecdt:46

Access Statistics for this paper

More papers in Working papers from Red Investigadores de Economía Cra 7 # 14-78. Contact information at EDIRC.
Bibliographic data for series maintained by CAIE ().

 
Page updated 2020-08-07
Handle: RePEc:rie:riecdt:46