PMID- 35600508
OWN - NLM
STAT- Publisher
LR  - 20240216
IS  - 0254-5330 (Print)
IS  - 1572-9338 (Electronic)
IS  - 0254-5330 (Linking)
DP  - 2022 May 15
TI  - Tail risk connectedness in clean energy and oil financial market.
PG  - 1-25
LID - 10.1007/s10479-022-04745-w [doi]
AB  - This research investigates the connectedness and the tail risk spillover between 
      clean energy and oil firms, from January 2011 to October 2021. To this, we use 
      the Tail-Event driven NETworks (TENET) risk model. This approach allows for a 
      measurement of the dynamics of tail-risk spillover for each sector and firm. 
      Hence, we can provide a detailed picture of the existing extreme relationships 
      within these markets. We find that the total connection between the markets 
      varies during the period analysed, showing how the uncertainty in oil price plays 
      a critical role in the risk dynamics for oil companies. Also, we find that 
      relationships between energy firms tend to be intrasectoral; that is, each sector 
      receives (emits) risk from (to) itself. These results can have important 
      practical implications for risk management and policymakers.
CI  - (c) The Author(s) 2022.
FAU - Foglia, Matteo
AU  - Foglia M
AD  - Department of Economics, Management and Business Law, "Aldo Moro" University of 
      Bari, Bari, Italy. GRID: grid.7644.1. ISNI: 0000 0001 0120 3326
AD  - Department of Economics, "G.d'Annunzio" University of Pescara, Viale Pindaro 42, 
      65127 Pescara, PE Italy.
FAU - Angelini, Eliana
AU  - Angelini E
AD  - Department of Economics, "G.d'Annunzio" University of Pescara, Viale Pindaro 42, 
      65127 Pescara, PE Italy.
FAU - Huynh, Toan Luu Duc
AU  - Huynh TLD
AD  - Southampton Business School, University of Southampton, Southampton, SO17 1BJ UK. 
      GRID: grid.5491.9. ISNI: 0000 0004 1936 9297
LA  - eng
PT  - Journal Article
DEP - 20220515
PL  - United States
TA  - Ann Oper Res
JT  - Annals of operations research
JID - 101608624
PMC - PMC9107911
OTO - NOTNLM
OT  - Clean energy firms
OT  - Interconnectedness
OT  - Oil firms
OT  - Spillover network
OT  - Tail risk spillover
EDAT- 2022/05/24 06:00
MHDA- 2022/05/24 06:00
PMCR- 2022/05/15
CRDT- 2022/05/23 03:55
PHST- 2022/04/15 00:00 [accepted]
PHST- 2022/05/23 03:55 [entrez]
PHST- 2022/05/24 06:00 [pubmed]
PHST- 2022/05/24 06:00 [medline]
PHST- 2022/05/15 00:00 [pmc-release]
AID - 4745 [pii]
AID - 10.1007/s10479-022-04745-w [doi]
PST - aheadofprint
SO  - Ann Oper Res. 2022 May 15:1-25. doi: 10.1007/s10479-022-04745-w.