Spillover effects of geopolitical risks on global energy markets: Evidence from CoVaR and CAViaR-EGARCH model

• Published in: Energy exploration & exploitation Vol. 42; no. 2; pp. 772 - 788
• Main Authors: Zhao, Yu, Chen, Linbo, Zhang, Yu
• Format: Journal Article
• Language: English
• Published: London, England SAGE Publications 01.03.2024; Sage Publications Ltd; SAGE Publishing
• Subjects: Crude oil; Energy; International relations; Natural gas; Political factors; CoVaR; quantile regression; Geopolitical risk; energy market; spillover effect; CAViaR-EGARCH model

This study investigated the spillover effects of geopolitical risks on energy (crude oil, coal and natural gas) markets. The empirical evidence is based on the CoVaR index and the CAViaR-EGARCH model. Results demonstrate that the spillover effects of geopolitical risks on the global energy market ar...