Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230728
Authors: 
Chen, Shi
Härdle, Wolfgang Karl
López Cabrera, Brenda
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-017
Abstract: 
We investigate the concept of connectedness, which is important for risk measurement and management inGerman energy market. Understanding and learning from these mechanisms are essential to avoid future systemic disasters. To deal with large portfolio selection, we propose regularization approach to capture the spillover and contagion effects acrossGerman power derivatives. This paper shows how network analysis can facilitate the monitoring of futures price movements. Our methodology combines high-dimensional variable selection techniques with network analysis, the results show that contracts like Phelix Base Year Options and Phelix Peak Year Futures are in the core of the Energy futures market.
Subjects: 
regularization
energy risk transmission
network
German energy market
JEL: 
C1
Q41
Q47
Document Type: 
Working Paper

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