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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
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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
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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
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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
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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
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Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities
Maxwell, Christian; Davison, Matt - In: Energy Economics 42 (2014) C, pp. 140-151
Ethanol crush spreads are used to model the value of a facility which produces ethanol from corn. A real option analysis is used to investigate the effects of model parameters on the related managerial decisions of (i) how to operate the facility through optimal switching from idled to...
Persistent link: https://www.econbiz.de/10010868724
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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
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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
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Is there dependence and systemic risk between oil and renewable energy stock prices?
Reboredo, Juan C. - In: Energy Economics 48 (2015) C, pp. 32-45
We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil...
Persistent link: https://www.econbiz.de/10011208283
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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/10011451531