Risque factors and contagion
In Commodity Markets and Stocks Markets
The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often be debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due seasonal variations, to dramatic market changes, political and regulatory decisions or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so called "commodities risk". Additionally, commodities price fluctuations may spread off to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets....
Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Whether the financialization in energy commodities occurs after the 2008 global financial crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Handbook of Energy Finance
Theories, Practices and Simulations
Modeling the dynamics of energy markets has become a challenging task. The intensification of their financialization since 2004 had made them more complex but also more integrated with other tradable asset classes. More importantly, their large and frequent fluctuations in terms of both prices and volatility, particularly in the aftermath of the global financial crisis 2008-2009, posit difficulties for modeling and forecasting energy price behavior and are primary sources of concerns for macroeconomic stability and general economic performance....
This handbook aims to advance the debate on the theories and practices of quantitative energy finance while shedding light on innovative results and technical methods applied to energy markets. Its primary focus is on the recent development and applications of mathematical and quantitative approaches for a better understanding of the stochastic processes that drive energy market movements. The handbook is designed for not only graduate students and researchers but also practitioners and policymakers.
A dynamic regime switching GARCH-CAPM for energy and financial markets. In Energy Economics , 85, 104577, 2020
Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. In International Economics , 161, 10-29, 2020.
Research in International Business and Finance
Negative oil price shocks transmission: the comparative effects of the GFC, shale oil boom, and Covid-19 downturn on French gasoline prices, Forthcoming in Research in International Business and Finance, 2021
Economic activity and financial and commodity markets’ shocks: an analysis of implied volatility indexes. In International Economics 2021, 165, 51-66
Commodities risk premia and regional integration in gas-exporting countries, Energy Economics, vol. 80 pp. 267–276, 2019.
Financial Development and Energy Consumption: Is the MENA Region Different, Energy Policy, forthcoming 2019.
On the Conditional Dependence Between Oil, Gold and FX: a Nested Copula-based GJR-GARCH Model, Energy Economics, 80 pp. 876–889, 2019.
Electricity day-ahead hedging optimization: a portfolio approach, Energy Policy, vol. 132 pp. 1120–1129, 2019.
Contagion effects from U.S. to MENA Equity Markets: The Role of Oil and Gas, Energy Policy, forthcoming 2019.