| Complex risk contagions among large international energy firms: A multi-layer network analysis | |
Wu, Fei; Xiao, Xuanqi1; Zhou, Xinyu; Zhang, Dayong; Ji, Qiang2 ; Ji, Qiang2
| |
| Source Publication | ENERGY ECONOMICS
 |
| Keyword | Energy firms Multi-layer network Risk contagions Time-varying |
| Abstract | This paper introduces a multi-layer network approach to explore risk contagions in a sample of top energy firms in the world. Large energy companies play a very important role in the international energy market. Mapping their responses to different types of shocks provides profound implications for understanding how international energy markets work, and could also create significant value for investors in the energy sector. Specifically, we distinguish three layers of risk spillovers, covering return correlations as well as upper tail and lower tail dependence. Through a multi-layer network setting, we identify both within layer linkages and inter-layer linkages. In addition, the dynamic evolution of this network structure is explored through a rolling-window approach, which enables us to evaluate the level of structural stability. Our empirical results unveil three regional clusters and a dynamic power shifting pattern in the international energy sector. Overall, this multi-layer network approach allows us to detect complex risk contagion patterns in financial markets and could be generalized to other scenarios. |
| 2022 | |
| Volume | 114 |
| ISSN | 0140-9883 |
| Subtype | Article |
| DOI | 10.1016/j.eneco.2022.106271 |
| WOS Keyword | RENEWABLE ENERGY ; VINE COPULAS ; CRUDE-OIL ; VOLATILITY ; PRICE ; US ; CONNECTEDNESS ; CENTRALITY ; PORTFOLIO ; COMPANIES |
| Language | 英语 |
| WOS Research Area | Business & Economics |
| WOS Subject | Economics |
| WOS ID | WOS:000884596400004 |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.casisd.cn/handle/190111/12035 |
| Collection | 系统分析与管理研究所 |
| Affiliation | 1.Southwestern Univ Finance & Econ, Chengdu, Sichuan, Peoples R China 2.Tech Univ Munich, Munich, Germany 3.Chinese Acad Sci, Inst Sci & Dev, Beijing, Peoples R China |
| Recommended Citation GB/T 7714 | Wu, Fei,Xiao, Xuanqi,Zhou, Xinyu,et al. Complex risk contagions among large international energy firms: A multi-layer network analysis[J]. ENERGY ECONOMICS,2022,114. |
| APA | Wu, Fei,Xiao, Xuanqi,Zhou, Xinyu,Zhang, Dayong,Ji, Qiang,&Ji, Qiang.(2022).Complex risk contagions among large international energy firms: A multi-layer network analysis.ENERGY ECONOMICS,114. |
| MLA | Wu, Fei,et al."Complex risk contagions among large international energy firms: A multi-layer network analysis".ENERGY ECONOMICS 114(2022). |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment