Energy contagion analysis: A new perspective with application to a small petroleum economy

Volume: 80, Pages: 890 - 903
Published: May 1, 2019
Abstract
We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis conditions in energy markets. Further, we show how to construct tests for energy contagion through correlation, co-skewness, and co-volatility channels. The samples of our contagion measures are defined in terms of calm and crisis periods in the international crude oil market. In particular, we compare how these various co-moments in...
Paper Details
Title
Energy contagion analysis: A new perspective with application to a small petroleum economy
Published Date
May 1, 2019
Volume
80
Pages
890 - 903
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