Systemic risk in energy derivative markets: a graph theory analysis
AbstractThis article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between commodities and other financial assets. In such a high dimensional analysis, graph theory enables us to understand the dynamic behavior of our price system. We show that energy markets - as a whole - stand at the heart of this system. We also establish that crude oil is itself at the center of the energy complex. Further, we provide evidence that commodity markets have become more integrated over time.
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Bibliographic InfoPaper provided by HAL in its series Post-Print with number halshs-00738201.
Date of creation: 2012
Date of revision:
Publication status: Published, Energy Journal, 2012, 33, 6, 215-239
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Systemic risk; Energy; Derivative markets; High dimensional analysis; Graph theory; Minimum spanning trees.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-20 (All new papers)
- NEP-ENE-2012-10-20 (Energy Economics)
- NEP-RMG-2012-10-20 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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