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

Content Provider	Semantic Scholar
Author	Uddin, Gazi Salah Hernandez, Jose Areola Shahzad, Syed Jawad Hussain Hedström, Axel
Copyright Year	2018
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.
Starting Page	35
Ending Page	46
Page Count	12
File Format	PDF HTM / HTML
DOI	10.1016/j.eneco.2018.01.035
Alternate Webpage(s)	http://isiarticles.com/bundles/Article/pre/pdf/102154.pdf
Alternate Webpage(s)	https://doi.org/10.1016/j.eneco.2018.01.035
Volume Number	71
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article