Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?

Luo, Keyu; Guo, Qiang; Li, Xiafei

doi:10.1016/j.eneco.2022.105947

Cited by 10 publications

(1 citation statement)

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“…They also show that gold act as a receiver whereas oil appear as a transmitter of shocks towards these stock markets. Likewise, more recently, Luo et al (2022) investigate connectedness between gray energy and natural gas. They find that most of the gray energy indexes possess an ability to predict natural gas returns.…”

Section: Highlightsmentioning

confidence: 99%

Global energy markets connectedness: evidence from time–frequency domain

Rehman

Naeem

Ahmad³

et al. 2022

Environ Sci Pollut Res

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We examine the presence of dependence across 51 energy markets classified into different regions from Jan 2007 to June 2021. In order to examine the presence of dependence across different energy markets, we apply standard and threshold dependence measures proposed by Diebold and Yilmaz, Int J Forecast 28:57-66, ( 2012 ) and Baruník and Křehlík, J Financ Econ 16(2):271-296, ( 2018 ). We highlight the presence of strong dependence between the energy markets at both regional level and across other regions. European and American energy markets are highly connected within the region over the long-run whereas Asia–Pacific and the African energy markets offer optimal diversification opportunities. Both short- and long-run dependence exists between Chinese and the Hong Kong energy markets and between the US and Canadian energy markets. We also witness substantial increase dependence across all the energy markets during different crisis periods.

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Section: Highlightsmentioning

confidence: 99%