Abstract:This paper presents an analysis of shift‐contagion in energy markets, testing whether linkages between returns in energy markets increase during crisis periods. The research presented herein demonstrates how common movement between energy markets increases due to (i) shift‐contagion across energy markets, reflected by structural transmission of shocks across markets and (ii) larger common shocks operating through standard cross‐market interdependences. A regime‐switching model was developed to detect shift‐con… Show more
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