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Keywords: Risk transfer
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Journal Articles
Price risk transfer from futures to spot prices in energy commodities: measuring the effects of the Covid-19 pandemic and of the Russo–Ukrainian conflict
Available to Purchase
Journal:
Journal of Financial Economic Policy
Journal of Financial Economic Policy (2025) 17 (4): 593–616.
Published: 16 December 2024
...Dimitrios Panagiotou; Konstantinos Karamanis Purpose The purpose of this paper is to measure price risk transfer from futures prices to spot prices in the markets of energy commodities. Design/methodology/approach To this end, it estimates CoVaR functions for five futures-spot prices pairs...
