Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets

2018 ◽  
Vol 24 ◽  
pp. 25-33 ◽  
Author(s):  
Fangfei Zhu ◽  
Yabei Zhu ◽  
Xuejun Jin ◽  
Xingguo Luo
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Spillover Effects ◽  
Option Markets ◽  
Natural Gas Markets ◽  
Oil And Natural Gas ◽  
Gas Markets

A Study of Risk Spillover in the Crude Oil and the Natural Gas Markets

2017 ◽  
Vol 18 (6) ◽  
pp. 1465-1477 ◽  
Author(s):  
Dilip Kumar
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Value At Risk ◽  
Spillover Effects ◽  
Downside Risk ◽  
Natural Gas Markets ◽  
Oil Markets ◽  
Gas Markets ◽  
Gas Market ◽  
Upside Risk

This article examines the upside and downside risk spillover effects among crude oil (WTI and Brent) and Henry Hub natural gas markets. We consider value-at-risk (VaR) as a measure of risk and model both upside and downside 95 per cent, 99 per cent and 99.5 per cent VaR using various VaR approaches. The VaR models are evaluated using Christoffersen’s (1998) conditional coverage test and Lopez’s loss function approach to select the best-performing VaR model. Finally, we apply Hong, Liu and Wang’s (2009) approach to examine the upside and the downside risk spillover among crude oil and Henry Hub natural gas markets. We find significant two-way as well as one-way upside and downside risk spillover between WTI and Brent crude oil. Our results provide weak evidence of upside risk spillover from natural gas market to crude oil markets for 99.5 per cent VaR.

“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets

2017 ◽  
Vol 68 ◽  
pp. 228-239 ◽  
Author(s):  
Yue-Jun Zhang ◽  
Julien Chevallier ◽  
Khaled Guesmi
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Natural Gas Markets ◽  
Oil And Natural Gas ◽  
Gas Markets

The dynamic linkages between crude oil and natural gas markets

2017 ◽  
Vol 62 ◽  
pp. 155-170 ◽  
Author(s):  
Jonathan A. Batten ◽  
Cetin Ciner ◽  
Brian M. Lucey
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Natural Gas Markets ◽  
Oil And Natural Gas ◽  
Gas Markets ◽  
Dynamic Linkages
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