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dc.contributor.authorHuynh, Toan Luu Duc
dc.contributor.authorShahbaz, Muhammad
dc.contributor.authorNasir, Muhammad Ali
dc.contributor.authorUllah, Subhan
dc.date.accessioned2022-06-14T16:01:01Z
dc.date.available2022-06-14T16:01:01Z
dc.date.issued2022-06
dc.identifier.issn0254-5330
dc.identifier.others10479-020-03680-y
dc.identifier.other3680
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/338092
dc.description.abstract<jats:title>Abstract</jats:title><jats:p>This paper empirically investigates whether cryptocurrencies might have a useful role in financial modelling and risk management in the energy markets. To do so, the causal relationship between movements on the energy markets (specifically the price of crude oil) and the value of cryptocurrencies is analysed by drawing on daily data from April 2013 to April 2019. We find that shocks to the US and European crude oil indices are strongly connected to the movements of most cryptocurrencies. Applying a non-parametric statistic, Transferring Entropy (an econophysics technique measuring information flow), we find that some cryptocurrencies (XEM, DOGE, VTC, XLM, USDT, XRP) can be used for hedging and portfolio diversification. Furthermore, the results reveal that the European crude oil index is a source of shocks on the cryptocurrency market while the US oil index appears to be a receiver of shocks. </jats:p>
dc.languageen
dc.publisherSpringer Science and Business Media LLC
dc.subjectS.I. : Financial Modelling and Risk Management of Energy and Environmental Instruments and Derivatives
dc.subjectEnergy markets
dc.subjectRisk management
dc.subjectCrude oil
dc.subjectCryptocurrency
dc.subjectTransfer entropy
dc.subjectFinancial instruments
dc.subjectO31
dc.subjectG18
dc.subjectO32
dc.subjectO33
dc.titleFinancial modelling, risk management of energy instruments and the role of cryptocurrencies
dc.typeArticle
dc.date.updated2022-06-14T16:01:01Z
prism.endingPage75
prism.issueIdentifier1
prism.publicationNameAnnals of Operations Research
prism.startingPage47
prism.volume313
dc.identifier.doi10.17863/CAM.85501
rioxxterms.versionofrecord10.1007/s10479-020-03680-y
rioxxterms.versionVoR
rioxxterms.licenseref.urihttp://creativecommons.org/licenses/by/4.0/
dc.contributor.orcidHuynh, Toan Luu Duc [0000-0002-1486-127X]
dc.identifier.eissn1572-9338
cam.issuedOnline2020-07-02


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