Systemic risk in energy derivative markets: a graph theory analysis
Download full text from publisher
References listed on IDEAS
- repec:dau:papers:123456789/95 is not listed on IDEAS
- Pindyck, Robert S & Rotemberg, Julio J, 1990.
"The Excess Co-movement of Commodity Prices,"
Royal Economic Society, vol. 100(403), pages 1173-1189, December.
- Pindyck, Robert S. & Rotemberg, Julio., 1987. "The excess co-movement of commodity prices," Working papers 1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert S. Pindyck & Julio J. Rotemberg, 1988. "The Excess Co-Movement of Commodity Prices," NBER Working Papers 2671, National Bureau of Economic Research, Inc.
- Michael S. Haigh & David A. Bessler, 2004.
"Causality and Price Discovery: An Application of Directed Acyclic Graphs,"
The Journal of Business,
University of Chicago Press, vol. 77(4), pages 1099-1121, October.
- Haigh, Michael S. & Bessler, David A., 2002. "Causality And Price Discovery: An Application Of Directed Acyclic Graphs," Working Papers 28588, University of Maryland, Department of Agricultural and Resource Economics.
- Haigh, Michael S. & Bessler, David A., 2002. "Causality And Price Discovery: An Application Of Directed Acyclic Graphs," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19057, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Adusei Jumah & Sohbet Karbuz & Gerhard Runstler, 1999. "Interest rate differentials, market integration, and the efficiency of commodity futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 101-108.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bates, Samuel & Angeon, Valérie & Ainouche, Ahmed, 2014.
"The pentagon of vulnerability and resilience: A methodological proposal in development economics by using graph theory,"
Elsevier, vol. 42(C), pages 445-453.
- Samuel Bates & Valérie Angeon & Ahmed Ainouche, 2014. "The pentagon of vulnerability and resilience: A methodological proposal in development economics by using graph theory," Post-Print hal-01291338, HAL.
- repec:dau:papers:123456789/13631 is not listed on IDEAS
- Champagne, Claudia, 2014. "The international syndicated loan market network: An “unholy trinity”?," Global Finance Journal, Elsevier, vol. 25(2), pages 148-168.
- Guo, Yanfeng & Wen, Xiaoqian & Wu, Yanrui & Guo, Xiumei, 2016. "How is China's coke price related with the world oil price? The role of extreme movements," Economic Modelling, Elsevier, vol. 58(C), pages 22-33.
- Kerste, Marco & Gerritsen, Matthijs & Weda, Jarst & Tieben, Bert, 2015. "Systemic risk in the energy sector—Is there need for financial regulation?," Energy Policy, Elsevier, vol. 78(C), pages 22-30.
- Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2014. "A dynamic analysis on global natural gas trade network," Applied Energy, Elsevier, vol. 132(C), pages 23-33.
- Delphine Lautier & Franck Raynaud, 2014. "Information Flows in the term structure of commodity prices," Post-Print hal-01655842, HAL.
More about this item
KeywordsMinimum spanning trees; Systemic risk; Energy; Derivative markets; High dimensional analysis; Graph theory; Minimum spanning trees.;
NEP fieldsThis 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)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00738201. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.