Journal of Fundamentals of Renewable Energy and Applications
Open Access

Measuring contagion between energy and stock market during financial crisis: Asymmetric dynamics in the correlations

World Bioenergy Congress and Expo

June 13-14, 2016 Rome, Italy

Nadhem Selmi

University of Sfax, Tunisia

Posters & Accepted Abstracts: J Fundam Renewable Energy Appl

Abstract :

This paper deals with the study of the Asymmetric Dynamic Conditional Correlation (ADCC) model developed by Cappiello et al. (2006). The A-DCC models carry out better than the non-asymmetric ones. The methodological design is an appropriate multivariate vector and autoregressive exponential GARCH (M-VAR-EGARCH) process which investigate the nature of the volatility and return spillover mechanism across markets. This article examines the dynamic linkages between the stock market and oil price in the US and the Euro-Zone from January 2, 2004 to July 5, 2013. The findings support the existence of a contagion effect during the Greek debt crisis but not the subprime crisis.

Biography :

Email: nadhem.selmi@yahoo.fr