0617151 20250526123842.820250219235959.9 2364-1428 Mnichov CESifo 2024 46 s. E CESifo Working Papers 24 10889 connectedness volatility spillovers frequency decomposition portfolio weights and hedge ratios energy commodities distress cav_un_auth*0312139 Kočenda Evžen UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0055547 Moravcová M. CZ https://library.utia.cas.cz/separaty/2025/E/kocenda-0617151.pdf https://www.cesifo.org/DocDL/cesifo1_wp10889.pdf We analyze (frequency) connectedness and portfolio hedging among U.S. energy commodities from 1997 to 2023. We show that the total connectedness increased over time, likely due to the increasing financialization of energy commodities. It fluctuates with respect to (i) different investment horizons and (ii) different periods of distress. The early stage of the Russia-Ukraine war is associated with the highest systemic risk, followed by the Covid-19 pandemic and global financial crisis (GFC). In the frequency domain, the results imply that investors perceive the greatest risk at longer investment horizons, particularly during the three major distress periods. We also show that despite it is difficult and more costly to diversify an energy portfolio during distress periods, adding natural gas seems to bring non-marginal diversification benefits. AH 50000 50200 50206 2025 2 2 O 4 4o 4 20250526123836.2 4 20250526123842.8 RVO:67985556 https://hdl.handle.net/11104/0364273 S 2024 Soubory v repozitáři: 0617151.pdf 2024 Mnichov CESifo