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Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method

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  • Chen, Yaling
  • Zhu, Huiming
  • Liu, Yinpeng

Abstract

This paper combines the MODWT method with the vine-copula model to explore the dependence and contagion of extreme risk between WTI crude oil, clean energy, and US stock market. The results indicate that in the original return, the impact of US stocks reinforces the dependence between WTI crude oil and clean energy. After removing the risk effect of covariates, the risk contagion from WTI crude oil to clean energy and US stocks is smaller than their extreme risk contagion to WTI crude oil. Furthermore, different investment time scales have different risk contagion profiles. For example, the contagion of risk between WTI crude oil, clean energy and the US stock market is significantly tighter on the medium-run time scale, while on the short-run time scale, there is no significant risk contagion from WTI crude oil to either clean energy or US stocks. Finally, asymmetric effects are very common on the downside and upside risk-contagious surface, with WTI crude oil being more vulnerable to risk contagion from US stocks than clean energy.

Suggested Citation

  • Chen, Yaling & Zhu, Huiming & Liu, Yinpeng, 2025. "Measuring multi-scale risk contagion between crude oil, clean energy, and stock market: A MODWT-Vine-copula method," Research in International Business and Finance, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000467
    DOI: 10.1016/j.ribaf.2025.102790
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