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Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
(2022-06)Unprecedented increases in European natural gas prices observed in late 2021 and early 2022 raise a question about the sources of these events. In this article we investigate this topic using a time-varying parameters ... -
The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets
(2023-11)We quantify intraday volatility connectedness between oil and key financial assets and assess how it is related to uncertainty and sentiment measures. For that purpose, we integrate the well-known spillover methodology ... -
The European energy crisis and the US natural gas market dynamics. A structural VAR investigation
(2024-03)The Russian invasion of Ukraine triggered severe disruptions in the European energy markets and caused significant shifts in global natural gas flows. In this paper we investigate to what extent this European shock has ...