In this paper, we explore the impact of uncertainties on energy prices by measuring four
types of Delta Conditional Value-at-Risk (∆ CoVaR) using six time-varying copulas. Three …

The article aims to explore the heterogeneous feature in the determination of Bitcoin
volatility using a Markov regime-switching model and test its forecasting ability. The …

The fluctuation of energy prices has a great impact on the economy, making it essential to
analyze the risk transmission among energy commodities. In this paper, we use the …

This paper examines the risk connectedness across seven cryptocurrencies, Bitcoin,
Ethereum, Ripple, Litecoin, Stellar, Monero, and Dash, which have large capitalizations in …

Abstract The Global Financial Crisis (GFC) of 2007–2009 that originated in the US has
revealed the need for measuring and monitoring the transmission of extreme downside …

This paper proposes to investigate the impact of financialization on energy markets (oil, gas,
coal, and electricity European forward prices) during both normal times and periods of …

This paper shows that extreme energy price changes, located in the 10% tails of the
distribution, cluster across energy futures markets during the boom–bust cycle of 2006 to …

This paper investigates the impact of financialization on commodity prices across various
markets, particularly over recent decades. We introduce a groundbreaking theoretical model …

This paper focuses on the relationship between the world oil price and China's coke price,
particularly with respect to extreme movements in the world oil price. Based on a daily …

The aim of this study is to investigate the existence of electricity price bubbles and identify
the factors that contribute to their formation by conducting a comparative analysis between a …