{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,6]],"date-time":"2026-02-06T06:14:35Z","timestamp":1770358475259,"version":"3.49.0"},"reference-count":29,"publisher":"Springer Science and Business Media LLC","issue":"2","license":[{"start":{"date-parts":[[2020,11,2]],"date-time":"2020-11-02T00:00:00Z","timestamp":1604275200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springer.com\/tdm"},{"start":{"date-parts":[[2020,11,2]],"date-time":"2020-11-02T00:00:00Z","timestamp":1604275200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Ann Oper Res"],"published-print":{"date-parts":[[2022,6]]},"DOI":"10.1007\/s10479-020-03796-1","type":"journal-article","created":{"date-parts":[[2020,11,2]],"date-time":"2020-11-02T04:18:16Z","timestamp":1604290696000},"page":"755-772","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":18,"title":["Measuring extreme risk dependence between the oil and gas markets"],"prefix":"10.1007","volume":"313","author":[{"ORCID":"https:\/\/orcid.org\/0000-0003-4424-3488","authenticated-orcid":false,"given":"Hachmi","family":"Ben Ameur","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Zied","family":"Ftiti","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Fredj","family":"Jawadi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Wael","family":"Louhichi","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2020,11,2]]},"reference":[{"key":"3796_CR1","doi-asserted-by":"publisher","first-page":"224","DOI":"10.1016\/j.jfs.2009.02.001","volume":"5","author":"V Acharya","year":"2009","unstructured":"Acharya, V. (2009). A theory of systemic risk and design of prudential bank regulation. Journal of Financial Stability, 5, 224\u2013255.","journal-title":"Journal of Financial Stability"},{"key":"3796_CR2","doi-asserted-by":"publisher","first-page":"1705","DOI":"10.1257\/aer.20120555","volume":"106","author":"T Adrian","year":"2016","unstructured":"Adrian, T., & Brunnermeier, M. K. (2016). CoVaR. American Economic Review, 106, 1705\u20131741.","journal-title":"American Economic Review"},{"key":"3796_CR3","doi-asserted-by":"publisher","first-page":"55","DOI":"10.5547\/ISSN0195-6574-EJ-Vol27-No2-4","volume":"27","author":"LJ Bachmeier","year":"2006","unstructured":"Bachmeier, L. J., & Griffin, J. M. (2006). Testing for market integration crude oil, coal, and natural gas. The Energy Journal, 27, 55\u201371.","journal-title":"The Energy Journal"},{"issue":"July","key":"3796_CR4","doi-asserted-by":"publisher","first-page":"211","DOI":"10.1016\/0140-9883(91)90022-R","volume":"13","author":"RW Bacon","year":"1991","unstructured":"Bacon, R. W. (1991). Rockets and feathers: The asymmetric speed of adjustment of UK retail gasoline prices to cost changes. Energy Economics, 13(July), 211\u2013218.","journal-title":"Energy Economics"},{"key":"3796_CR5","doi-asserted-by":"publisher","first-page":"155","DOI":"10.1016\/j.eneco.2016.10.019","volume":"62","author":"JA Batten","year":"2017","unstructured":"Batten, J. A., Ciner, C., & Lucey, B. M. (2017). The dynamic linkages between crude oil and natural gas markets. Energy Economics, 62, 155\u2013170.","journal-title":"Energy Economics"},{"key":"3796_CR6","doi-asserted-by":"publisher","first-page":"428","DOI":"10.1016\/j.eneco.2005.12.003","volume":"29","author":"M Boyer","year":"2007","unstructured":"Boyer, M., & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics, 29, 428\u2013453.","journal-title":"Energy Economics"},{"key":"3796_CR7","doi-asserted-by":"publisher","first-page":"48","DOI":"10.1016\/j.eneco.2014.01.014","volume":"43","author":"M Brigida","year":"2014","unstructured":"Brigida, M. (2014). The switching relationship between natural gas and crude oil prices. Energy Economics, 43, 48\u201355.","journal-title":"Energy Economics"},{"key":"3796_CR8","first-page":"903","volume":"25","author":"C Douglas","year":"2010","unstructured":"Douglas, C., & Herrera, A. M. (2010). Why are gasoline prices sticky? A test of alternative models of price adjustment, Journal of Applied Econometrics, 25, 903\u2013928.","journal-title":"A test of alternative models of price adjustment, Journal of Applied Econometrics"},{"key":"3796_CR9","doi-asserted-by":"publisher","first-page":"69","DOI":"10.1016\/S1085-7443(99)00005-8","volume":"4","author":"R Faff","year":"1999","unstructured":"Faff, R., & Brailsford, T. (1999). Oil price risk and the Australian stock market. Journal of Energy Finance and Development, 4, 69\u201387.","journal-title":"Journal of Energy Finance and Development"},{"issue":"29","key":"3796_CR10","doi-asserted-by":"publisher","first-page":"3122","DOI":"10.1080\/00036846.2018.1564122","volume":"51","author":"Z Ftiti","year":"2019","unstructured":"Ftiti, Z., Jawadi, F., Louhichi, W., & Midani, A. (2019). On the relationship between energy returns and trading volume: A multifractal analysis. Applied Economics, 51(29), 3122\u20133136.","journal-title":"Applied Economics"},{"key":"3796_CR11","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-020-03652-2","author":"Z Ftiti","year":"2020","unstructured":"Ftiti, Z., Tissaoui, K., & Boubaker, S. (2020). On the relationship between oil and gas markets: A new forecasting framework based on the machine learning approach. Annals of Operational Research. https:\/\/doi.org\/10.1007\/s10479-020-03652-2.","journal-title":"Annals of Operational Research"},{"key":"3796_CR12","doi-asserted-by":"crossref","unstructured":"Gatfaoui, H. (2016). Capturing long-term coupling and short-term decoupling crude oil and natural gas prices. In: ECOMFIN2016: Energy and commodity finance conference 2016. ESSEC Business School, Paris, June 23\u201324.","DOI":"10.2139\/ssrn.2872780"},{"key":"3796_CR13","doi-asserted-by":"publisher","first-page":"228","DOI":"10.1086\/261140","volume":"91","author":"JD Hamilton","year":"1983","unstructured":"Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. Journal of Political Economy, 91, 228\u2013248.","journal-title":"Journal of Political Economy"},{"issue":"2","key":"3796_CR14","doi-asserted-by":"publisher","first-page":"363","DOI":"10.1016\/S0304-4076(02)00207-5","volume":"113","author":"JD Hamilton","year":"2003","unstructured":"Hamilton, J. D. (2003). What is an oil shock? Journal of Econometrics, 113(2), 363\u2013398.","journal-title":"Journal of Econometrics"},{"key":"3796_CR15","doi-asserted-by":"publisher","first-page":"54","DOI":"10.1080\/07474938.2019.1690190","volume":"39","author":"F Jawadi","year":"2019","unstructured":"Jawadi, F., Ftiti, Z., & Louhichi, W. (2019). Forecasting energy futures volatility with threshold augmented heterogenous autoregressive jump models. Econometric Reviews, 39, 54\u201370.","journal-title":"Econometric Reviews"},{"key":"3796_CR16","doi-asserted-by":"crossref","unstructured":"Karrenbrock, J. D. (1991). The behavior of retail gasoline prices: Symmetric or not? Federal Reserve Bank of St. Louis Review, July\/August 19\u201329.","DOI":"10.20955\/r.73.19-29"},{"key":"3796_CR17","doi-asserted-by":"publisher","first-page":"33","DOI":"10.2307\/1913643","volume":"46","author":"R Koenker","year":"1978","unstructured":"Koenker, R., & Bassett, G. (1978). Regression quantiles. Econometrica, 46, 33\u201348.","journal-title":"Econometrica"},{"key":"3796_CR18","doi-asserted-by":"publisher","first-page":"229","DOI":"10.1016\/j.apenergy.2015.05.123","volume":"155","author":"B Lin","year":"2015","unstructured":"Lin, B., & Li, J. (2015). The spillover effects across natural gas and oil markets: Based on the VEC\u2013MGARCH framework. Applied Energy, 155, 229\u2013241.","journal-title":"Applied Energy"},{"key":"3796_CR19","doi-asserted-by":"publisher","first-page":"454","DOI":"10.1016\/j.eneco.2017.08.031","volume":"67","author":"W Mensi","year":"2017","unstructured":"Mensi, W., Hammoudeh, S., Al-Jarrah, I. M. W., Sensoy, A., & Kang, S. H. (2017). Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. Energy Economics, 67, 454\u2013475.","journal-title":"Energy Economics"},{"key":"3796_CR20","doi-asserted-by":"publisher","first-page":"986","DOI":"10.1016\/j.eneco.2007.09.003","volume":"30","author":"M Nandha","year":"2008","unstructured":"Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30, 986\u2013997.","journal-title":"Energy Economics"},{"key":"3796_CR21","doi-asserted-by":"publisher","first-page":"147","DOI":"10.1002\/jae.865","volume":"21","author":"A Patton","year":"2006","unstructured":"Patton, A. (2006). Estimation of multivariate models for time series of possibly different lengths. Journal of Applied Econometrics, 21, 147\u2013173.","journal-title":"Journal of Applied Econometrics"},{"key":"3796_CR22","doi-asserted-by":"publisher","first-page":"4","DOI":"10.1016\/j.jmva.2012.02.021","volume":"110","author":"A Patton","year":"2012","unstructured":"Patton, A. (2012). A review of copula models for economic time series. Journal of Multivariate Analysis, 110, 4\u201318.","journal-title":"Journal of Multivariate Analysis"},{"key":"3796_CR24","doi-asserted-by":"publisher","first-page":"13","DOI":"10.5547\/01956574.33.2.2","volume":"33","author":"DJ Ramberg","year":"2012","unstructured":"Ramberg, D. J., & Parsons, J. E. (2012). The weak tie between natural gas and oil prices. The Energy Journal, 33, 13\u201335.","journal-title":"The Energy Journal"},{"key":"3796_CR25","doi-asserted-by":"publisher","first-page":"32","DOI":"10.1016\/j.eneco.2014.12.009","volume":"48","author":"JC Reboredo","year":"2015","unstructured":"Reboredo, J. C. (2015). Is there dependence and systemic risk between oil and renewable energy stock prices? Energy Economics, 48, 32\u201345.","journal-title":"Energy Economics"},{"key":"3796_CR26","doi-asserted-by":"publisher","first-page":"17","DOI":"10.1016\/S0140-9883(00)00072-4","volume":"23","author":"P Sadorsky","year":"2001","unstructured":"Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23, 17\u201328.","journal-title":"Energy Economics"},{"key":"3796_CR27","first-page":"229","volume":"8","author":"A Sklar","year":"1956","unstructured":"Sklar, A. (1956). Fonctions de r\u00e9partition et leurs marges. Publications de l\u2019Institut de Statistique de l\u2019Universit\u00e9 de Paris, 8, 229\u2013231.","journal-title":"Publications de l\u2019Institut de Statistique de l\u2019Universit\u00e9 de Paris"},{"key":"3796_CR28","doi-asserted-by":"publisher","first-page":"67","DOI":"10.1080\/09603107.2011.523195","volume":"21","author":"T Ter\u00e4svirta","year":"2011","unstructured":"Ter\u00e4svirta, T., & Zhao, Z. (2011). Stylized facts of return series, robust estimates and three popular models of volatility. Applied Financial Economics, 21, 67\u201394.","journal-title":"Applied Financial Economics"},{"key":"3796_CR29","doi-asserted-by":"publisher","first-page":"727","DOI":"10.1016\/j.ribaf.2017.07.013","volume":"42","author":"N Trabelsi","year":"2017","unstructured":"Trabelsi, N., & Naifar, N. (2017). Are Islamic stock indexes exposed to systemic risk? Multivariate GARCH estimation of CoVaR. Research in International Business and Finance, 42, 727\u2013744.","journal-title":"Research in International Business and Finance"},{"key":"3796_CR30","doi-asserted-by":"crossref","unstructured":"Venditti, F. (2010). Down the non-linear road from oil to consumer energy prices: No much asymmetry along the way. In: Temi di discussione, Bank of Italy Economic working papers 751.","DOI":"10.2139\/ssrn.1670093"}],"container-title":["Annals of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-020-03796-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s10479-020-03796-1\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s10479-020-03796-1.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,6,16]],"date-time":"2022-06-16T19:41:27Z","timestamp":1655408487000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s10479-020-03796-1"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2020,11,2]]},"references-count":29,"journal-issue":{"issue":"2","published-print":{"date-parts":[[2022,6]]}},"alternative-id":["3796"],"URL":"https:\/\/doi.org\/10.1007\/s10479-020-03796-1","relation":{},"ISSN":["0254-5330","1572-9338"],"issn-type":[{"value":"0254-5330","type":"print"},{"value":"1572-9338","type":"electronic"}],"subject":[],"published":{"date-parts":[[2020,11,2]]},"assertion":[{"value":"9 September 2020","order":1,"name":"accepted","label":"Accepted","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"2 November 2020","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}