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@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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