Systemic Risk in Energy Markets: Measuring Co-movements in Energy Asset Prices During Crises
摘要
This chapter develops forward-looking measures to quantify the exposure of the non-energy sector to extreme energy price shocks. Estimation is based on a vector-error correction model and multiplicative GARCH framework with a dynamic principal component analysis, capturing cointegration, volatility spillovers, and tail dependence with a latent energy market factor. The methodology is applied to energy futures traded on the European Energy Exchange and to DAX industrial returns, highlighting the transmission of energy stress during financial crises and major energy market events.