Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis
Raynaud, Franck; Lautier, Delphine (2012), Systemic Risk in Energy Derivative Markets: A Graph-Theory Analysis, The Energy journal, 33, 3, p. 215-239. http://dx.doi.org/10.5547/01956574.33.3.8
Type
Article accepté pour publication ou publiéExternal document link
http://halshs.archives-ouvertes.fr/halshs-00738201Date
2012Journal name
The Energy journalVolume
33Number
3Publisher
International Association for Energy Economics
Pages
215-239
Publication identifier
Metadata
Show full item recordAbstract (EN)
This 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 intermarket 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 timeSubjects / Keywords
Derivative markets; Energy; Graph theory; High dimensional analysis; Minimum spanning trees; Systemic riskRelated items
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