Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach

In this paper, we explore the impact of uncertainties on energy prices by measuring four types of Delta Conditional Value-at-Risk (∆CoVaR) using six time-varying copulas. Three different measures of uncertainty (economic policy, financial markets and energy markets) are considered, and the magnitude and asymmetric effects of their influence are investigated. Our results suggest that there generally exists negative dependence between energy...