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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - 2019
Persistent link: https://www.econbiz.de/10012015507
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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging …
Persistent link: https://www.econbiz.de/10012024377
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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - In: The review of financial studies 33 (2020) 3, pp. 1184-1216
Persistent link: https://www.econbiz.de/10012198087
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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Kelly, Bryan T.; … - 2019
Persistent link: https://www.econbiz.de/10012161614
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Hedging Climate Change News
Engle, Robert F. - 2019
. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations … in climate news both in-sample and out-of-sample. The resulting hedge portfolios outperform alternative hedging …
Persistent link: https://www.econbiz.de/10012889045
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Hedging Climate Change News
Engle, Robert F. - 2019
show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging innovations in … climate news both in sample and out of sample. The resulting hedge portfolios outperform alternative hedging strategies based …
Persistent link: https://www.econbiz.de/10012894717
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Hedging Climate Change News
Engle, Robert F. - 2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging …
Persistent link: https://www.econbiz.de/10012866389
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What are the events that shake our world? : measuring and hedging global COVOL
Engle, Robert F.; Campos-Martins, Susana - In: Journal of financial economics 147 (2023) 1, pp. 221-242
Persistent link: https://www.econbiz.de/10013546063
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2024 - This version: March 2024
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...
Persistent link: https://www.econbiz.de/10014531337
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Factor mimicking portfolios for climate risk
De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...
Persistent link: https://www.econbiz.de/10014232089