Browsing by Author "Elie Bouri"
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- Energy markets – Who are the influencers?Publication . Paulo Ferreira; Dora Almeida; Andreia Dionísio; Elie Bouri; Derick QuintinoThe energy markets have recently undergone important transformations (e.g. deregulation, technological progress, renewable energy deployment and changing energy consumer behaviour) and witnessed a variety of crisis periods, affecting the relationships among energy commodities and their interactions with clean energy indices. This has implications for price discovery, asset allocation and risk management, which requires in-depth analysis to uncover and identify which energy indices (or forms of energy) lead others or are the most influential, while accounting for asymmetry and non-linearity characteristics. To uncover the complex structure of the relationship across the returns of seven different energy commodities and two clean energy stock indices, we apply Granger causality and transfer entropy in both static and dynamic approaches. The results from the Granger causality analysis identify the influence of the other energy products on natural gas, whereas the transfer entropy analysis reveals the importance of WTI oil and the influence of clean energy indices. Diesel is the most influenced energy commodity. A rolling windows analysis confirms those findings and shows evidence of a time-variation that reflects the impacts of crisis periods, especially the pandemic, on the dynamics of relationships
- A grey-based correlation with multi-scale analysis: S&P 500 VIX and individual VIXs of large US company stocksPublication . Zhenkun Wang; Elie Bouri; Ferreira, Paulo Jorge Silveira; Syed Jawad Hussain Shahzad; Román FerrerWe provide first evidence of the multiscale comovement of correlations between the S&P 500 VIX and the VIXs of Amazon, Apple, Google, Goldman Sachs, and IBM. Using grey correlation and wavelet analysis on daily data (July 2011 - September 2021), the dynamics of grey-based cor relations vary across scales and depend on the fluctuation intensity of the medium time –frequency domains. The lead–lag relationships of VIX correlations are inconclusive about the dominant periodicity, although some evidence of weekly and monthly periodicity emerges. The pandemic affects the dynamics and lead-lag relationships. Such indications are useful for trading strategies and market-timing decisions.