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Extreme co-movements between infectious disease events and crude oil futures prices: From extreme value analysis perspective
Energy Economics ; : 106054, 2022.
Article in English | ScienceDirect | ID: covidwho-1814393
ABSTRACT
This paper examines the extreme co-movements between infectious disease events and crude oil futures through extreme value analyses. We contribute to the literature by providing a novel framework of tail risk early warning and considering infectious diseases as a systemic risk factor for crude oil futures. The results provide evidence that (1) when an extreme event occurs, the tail index of the infectious disease reaches its empirical lower threshold, which is approximately 2.30;(2) when a jump in volatility corresponding to the severeness of the epidemic is observed, the tail index reaches the lower bound, but not reversely;(3) both upside and downside extreme co-movements exist, whereas they are asymmetric;and (4) each tail quotient correlation coefficient keeps rising and reaches a peak before crises and fall sharply with the collapse of crude oil markets. The findings can offer implications for government officials, investors, portfolio managers, and policymakers, respectively.
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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Language: English Journal: Energy Economics Year: 2022 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: ScienceDirect Language: English Journal: Energy Economics Year: 2022 Document Type: Article