Impact of recent economic shocks on the energy sector: analysis of the conditional volatility of natural gas and crude oil
Criscitiello, Mattia (A.A. 2022/2023) Impact of recent economic shocks on the energy sector: analysis of the conditional volatility of natural gas and crude oil. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Giacomo Morelli, pp. 106. [Master's Degree Thesis]
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Abstract/Index
Global context and macroeconomic overview. Global scenario of EU and US. Uncertainty and volatility in the markets. Covid-19 pandemic and Russia invasion. Surge in. inflation. High inflation effects on the economy. Central Banks response. Commodities and energy sector dynamics under global uncertainties. The growing importance of commodities in the financial markets. Commodity price drivers. Relationship between spot and futures. Implication of the Ukrainian conflict on energy trades. Energy sanctions effects on exchange rates. Energy shocks effects on euro. Natural gas and crude oil conditional volatility analysis. Recent literature on commodities return predictability. Impact of investor sentiment and economic policy uncertainty on commodities. Methodology. TTF conditional volatility analysis. BRENT conditional volatility analysis.
References
Bibliografia: p. 104. Sitografia: pp. 105-106.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Empirical finance |
| Thesis Supervisor: | Morelli, Giacomo |
| Thesis Co-Supervisor: | Borri, Nicola |
| Academic Year: | 2022/2023 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 16 Jul 2024 10:39 |
| Last Modified: | 16 Jul 2024 10:39 |
| URI: | https://tesi.luiss.it/id/eprint/39352 |
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