Frequency volatility connectedness and portfolio hedging of US
energy commodities

J 2024

Frequency volatility connectedness and portfolio hedging of US energy commodities

KOČENDA, Evžen a Michala MORAVCOVÁ

Základní údaje

Originální název

Frequency volatility connectedness and portfolio hedging of US energy commodities

Autoři

KOČENDA, Evžen a Michala MORAVCOVÁ

Vydání

Research in International Business and Finance, Amsterdam, ELSEVIER, 2024, 0275-5319

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 6.500 v roce 2022

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.1016/j.ribaf.2024.102274

UT WoS

001200031700001

Klíčová slova anglicky

connectednessvolatility spilloversfrequency decompositionportfolio weights and hedge ratiosenergy commoditiesdistress

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 27. 6. 2024 10:02, Mgr. Alžběta Karolyiová

Anotace

V originále

We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.

Citovat

KOČENDA, Evžen a Michala MORAVCOVÁ. Frequency volatility connectedness and portfolio hedging of US energy commodities. Research in International Business and Finance. Amsterdam: ELSEVIER, 2024, roč. 69, 23 s. ISSN 0275-5319. Dostupné z: https://dx.doi.org/10.1016/j.ribaf.2024.102274.

@article{2406197,
   author = {Kočenda, Evžen and Moravcová, Michala},
   article_location = {Amsterdam},
   doi = {http://dx.doi.org/10.1016/j.ribaf.2024.102274},
   keywords = {connectednessvolatility spilloversfrequency decompositionportfolio weights and hedge ratiosenergy commoditiesdistress},
   language = {eng},
   issn = {0275-5319},
   journal = {Research in International Business and Finance},
   title = {Frequency volatility connectedness and portfolio hedging of US energy commodities},
   url = {https://www.sciencedirect.com/science/article/pii/S0275531924000679},
   volume = {69},
   year = {2024}
}

TY  - JOUR
ID  - 2406197
AU  - Kočenda, Evžen - Moravcová, Michala
PY  - 2024
TI  - Frequency volatility connectedness and portfolio hedging of US energy commodities
JF  - Research in International Business and Finance
VL  - 69
PB  - ELSEVIER
SN  - 02755319
KW  - connectednessvolatility spilloversfrequency decompositionportfolio weights and hedge ratiosenergy commoditiesdistress
UR  - https://www.sciencedirect.com/science/article/pii/S0275531924000679
N2  - We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits.
ER  -

KOČENDA, Evžen a Michala MORAVCOVÁ. Frequency volatility connectedness and portfolio hedging of US energy commodities. \textit{Research in International Business and Finance}. Amsterdam: ELSEVIER, 2024, roč.~69, 23 s. ISSN~0275-5319. Dostupné z: https://dx.doi.org/10.1016/j.ribaf.2024.102274.

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