Tail spillovers and systemic risk in energy, gold, and financial markets
Date: Wednesday, 22 July 2026
Time: 10.30 am – 12 pm
Venue: ABS LT4(ABS-02-LT4)
Chairperson: Assoc Prof Jinggong Zhang
Abstract
This article examines volatility spillovers and systemic risk across brown energy commodities, green energy assets, gold, and equity markets using a tail-aware connectedness framework. Combining forecast error variance decomposition with quantile-based connectedness measures, we capture cross-market transmission at both average and extreme states. Brown energy commodities emerge as persistent net transmitters of volatility, equities as net receivers, and gold as a state-dependent transmitter or absorber. Green energy assets exhibit a structural shift from volatility absorption to transmission after 2015, reflecting increased financial integration.
We introduce a connectedness-aware portfolio approach that penalizes assets acting as strong net receivers of volatility, internalizing systemic fragility in portfolio construction. This receiver-penalization improves the alignment of value-at-risk and expected shortfall with realized tail losses during systemic episodes, including the global financial crisis and the COVID-19 pandemic. Overall, the results highlight the importance of tail-specific connectedness for understanding systemic risk and designing resilient risk management strategies in energy-financial markets.
About the Speaker
Katja Ignatieva is an Associate Professor in the School of Risk and Actuarial Studies at the UNSW Business School. She holds a co-tutelle PhD in Finance from Goethe University Frankfurt, Germany, and Macquarie University, Sydney. Her research focuses on financial econometrics, derivative pricing, and risk management, with a strong emphasis on empirical studies in energy, commodity, financial markets, and insurance. Katja's work has been published in leading international journals, including the Journal of Business & Economic Statistics, Journal of Banking and Finance, Energy Economics, and Insurance: Mathematics and Economics, among others.