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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
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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. - In: Financial analysts journal : FAJ 80 (2024) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10015050470
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Volatility and time series econometrics : essays in honor of Robert Engle
Bollerslev, Tim (ed.); Engle, Robert F. (honouree);  … - 2010 - 1. publ.
Persistent link: https://www.econbiz.de/10003861657
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Zeitabhängige Volatilität und instationäre Zeitreihen : zum Nobelpreis an Robert F. Engle und Clive W. J. Granger
Hassler, Uwe - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 83 (2003) 12, pp. 811-816
Persistent link: https://www.econbiz.de/10001858207
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Dynamic conditional correlation : a simple class of multivariate generalized autoregressive conditional heteroskedasticity models
Engle, Robert F. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 339-350
Persistent link: https://www.econbiz.de/10001695066
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GARCH 101: the use of ARCH/GARCH models in applied econometrics
Engle, Robert F. - In: The journal of economic perspectives : EP ; a journal … 15 (2001) 4, pp. 157-168
Persistent link: https://www.econbiz.de/10001639344
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New frontiers for ARCH models
Engle, Robert F. - In: Journal of applied econometrics 17 (2002) 5, pp. 425-446
Persistent link: https://www.econbiz.de/10001709309
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Financial econometrics: a new discipline with new methods
Engle, Robert F. - In: Journal of econometrics 100 (2001) 1, pp. 53-56
Persistent link: https://www.econbiz.de/10001546140
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The econometrics of ultra-high frequency data
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10000613076