Tail risk connectedness in clean energy and oil financial market
Tail risk connectedness in clean energy and oil financial market
This research investigates the connectedness and the tail risk spillover between clean energy and oil firms, from January 2011 to October 2021. To this, we use the Tail-Event driven NETworks (TENET) risk model. This approach allows for a measurement of the dynamics of tail-risk spillover for each sector and firm. Hence, we can provide a detailed picture of the existing extreme relationships within these markets. We find that the total connection between the markets varies during the period analysed, showing how the uncertainty in oil price plays a critical role in the risk dynamics for oil companies. Also, we find that relationships between energy firms tend to be intrasectoral; that is, each sector receives (emits) risk from (to) itself. These results can have important practical implications for risk management and policymakers.
Clean energy firms, Interconnectedness, Oil firms, Spillover network, Tail risk spillover
Foglia, Matteo
a293405f-b95b-4913-acd5-ff1f6a76c3cc
Angelini, Eliana
8ece2bd7-1cba-4fa1-a2d0-2b9a7cdda333
Huynh, Luu Duc Toan
5ce01bb6-0184-49cc-8f34-aae3a1169e47
15 May 2022
Foglia, Matteo
a293405f-b95b-4913-acd5-ff1f6a76c3cc
Angelini, Eliana
8ece2bd7-1cba-4fa1-a2d0-2b9a7cdda333
Huynh, Luu Duc Toan
5ce01bb6-0184-49cc-8f34-aae3a1169e47
Foglia, Matteo, Angelini, Eliana and Huynh, Luu Duc Toan
(2022)
Tail risk connectedness in clean energy and oil financial market.
Annals of Operations Research.
(doi:10.1007/s10479-022-04745-w).
Abstract
This research investigates the connectedness and the tail risk spillover between clean energy and oil firms, from January 2011 to October 2021. To this, we use the Tail-Event driven NETworks (TENET) risk model. This approach allows for a measurement of the dynamics of tail-risk spillover for each sector and firm. Hence, we can provide a detailed picture of the existing extreme relationships within these markets. We find that the total connection between the markets varies during the period analysed, showing how the uncertainty in oil price plays a critical role in the risk dynamics for oil companies. Also, we find that relationships between energy firms tend to be intrasectoral; that is, each sector receives (emits) risk from (to) itself. These results can have important practical implications for risk management and policymakers.
Text
Tail_risk_connectedness_in_clean_energy_and_oil_financial_market
- Version of Record
Text
Tail risk connectedness in clean energy and oil financial market
More information
Accepted/In Press date: 15 May 2022
e-pub ahead of print date: 15 May 2022
Published date: 15 May 2022
Additional Information:
© The Author(s) 2022.
Keywords:
Clean energy firms, Interconnectedness, Oil firms, Spillover network, Tail risk spillover
Identifiers
Local EPrints ID: 457479
URI: http://eprints.soton.ac.uk/id/eprint/457479
ISSN: 0254-5330
PURE UUID: ccc738b2-c2d2-4a81-9f94-8805d8752845
Catalogue record
Date deposited: 09 Jun 2022 16:58
Last modified: 16 Mar 2024 17:33
Export record
Altmetrics
Contributors
Author:
Matteo Foglia
Author:
Eliana Angelini
Author:
Luu Duc Toan Huynh
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics