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Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

Sadorsky, Perry - In: Energy economics 34 (2012) 1, pp. 248-255

Persistent link: https://www.econbiz.de/10009618862

On the dynamic dependence and investment performance of crude oil and clean energy stocks

Ahmad, Wasim - In: Research in international business and finance 42 (2017), pp. 376-389

Persistent link: https://www.econbiz.de/10011750303

Modelling volatility spillovers for bio-ethanol, sugarcane and corn

Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016

prices, returns and volatility of related agricultural commodities. Analyzing the spillover effects on agricultural …. The purpose of this paper is to examine the volatility spillovers for spot and futures returns on bio-ethanol and related … agricultural commodities, specifically corn and sugarcane, using the multivariate diagonal BEKK conditional volatility model. The …

Persistent link: https://www.econbiz.de/10011441704

The Value of Green Energy under Regulation Uncertainty

Detemple, Jerome - 2020

We examine investments in power generation projects under policy uncertainty, when the investor has the choice between two alternative technologies, a gas-fired plant and a wind plant. Increased risk of subsidy withdrawal reduces the payoff from and postpones investments in the wind technology....

Persistent link: https://www.econbiz.de/10012835055

Pricing Analysis of Wind Power Derivatives for Renewable Energy Risk Management

Kanamura, Takashi; Homann, Lasse; Prokopczuk, Marcel - 2021

The objective of this study is to analyse the theoretical pricing of wind power derivatives, which is important for renewable energy risk management but has a problem in the pricing due to the illiquidity of the assets and to show the application of the theory to the practical implementation of...

Persistent link: https://www.econbiz.de/10013213162

Understanding dynamic conditional correlations between commodities futures markets

Behmiri, Niaz Bashiri; Manera, Matteo; Nicolini, Marcella - 2016

We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...

Persistent link: https://www.econbiz.de/10011451631

Asymmetric pass-through between oil prices and the stock prices of clean energy firms : new evidence from a nonlinear analysis

Kocaarslan, Baris; Soytas, Ugur - In: Energy reports 5 (2019), pp. 117-125

There is an ongoing debate on how oil prices affect the stock prices of clean energy companies. We contribute to this debate by questioning the possibility of asymmetric linkages between oil prices, interest rates, and the stock prices of clean energy and technology firms. Using a recently...

Persistent link: https://www.econbiz.de/10012001267

Volatility spillovers for spot, futures, and ETF prices in energy and agriculture

Chang, Chia-Lin; Liu, Chia-ping; McAleer, Michael - 2016 - Revised: June, 2016

relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two … volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper … sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility …

Persistent link: https://www.econbiz.de/10011490975

Returns in commodities futures markets and financial speculation: a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...

Persistent link: https://www.econbiz.de/10010343837

Analysis of the volatility of wind energy production in Romania applying the EGARCH model

Murărașu, Ioan-Cătălin - In: International journal of business and economic sciences … 16 (2023) 2, pp. 27-35

Purpose: The objective of the paper is to highlight the volatility of wind energy production, the renewable source of … analyse the volatility of indices in the financial field, but the present study, as well as others before, showed that it also …: The results of the study show a GARCH term of 0.936, which points out a volatility comparable to some of the riskiest …

Persistent link: https://www.econbiz.de/10014496591

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