Tail risk contagion and connectedness between crude oil, natural gas, heating oil, precious metals, and international stock markets

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dc.contributor.authorMensi, Walid
dc.contributor.authorGök, Remzi
dc.contributor.authorGemici, Eray
dc.contributor.authorKang, Sang Hoon
dc.date.accessioned2025-02-22T14:10:54Z
dc.date.available2025-02-22T14:10:54Z
dc.date.issued2025
dc.departmentDicle Üniversitesien_US
dc.description.abstractWe apply the qunatile vector autoregression (QVAR) connectedness and frequency causality methods to investigate tail risk contagion, quantile dependency, and causality linkages among the spot prices of equity, precious metals, and energy commodity markets between 2002 and 2024. Our findings indicate that the average amount of unexpected losses for stock markets is lower than that for other markets. Furthermore, our analysis of tail risk spillovers shows that downside risks are primarily driven by the contributions of others, with the most significant impact occurring when the tail risk is at its lowest. The total downside risks associated with connectedness are greater for lower quantiles and stock markets typically serve as the primary transmitters of shocks across all quantiles. During financial crises, heterogeneous and event-dependent risk spillovers strengthen, but not during pandemics or geopolitical incidents. © 2024en_US
dc.description.sponsorshipMinistry of Education, MOE; SPTSX; WTI; HOIL, (5.522, CSI300, 4.001, 4.021); National Research Foundation of Korea, NRF, (NRF-2024S1A5A2A01028034); National Research Foundation of Korea, NRFen_US
dc.identifier.doi10.1016/j.inteco.2024.100570
dc.identifier.issn2110-7017
dc.identifier.scopus2-s2.0-85211714958en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1016/j.inteco.2024.100570
dc.identifier.urihttps://hdl.handle.net/11468/29865
dc.identifier.volume181en_US
dc.indekslendigikaynakScopus
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.relation.ispartofInternational Economicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.snmzKA_Scopus_20250222
dc.subjectContagionen_US
dc.subjectEnergyen_US
dc.subjectPrecious metalsen_US
dc.subjectStock marketsen_US
dc.titleTail risk contagion and connectedness between crude oil, natural gas, heating oil, precious metals, and international stock marketsen_US
dc.typeArticleen_US

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