The observation that price declines usually lead to volatility increases is known as the asymmetric volatility effect and has become a stylized fact about the financial markets. We study asymmetric volatility effect in 19 equity indices from North America, Latin America, Europe, Asia and...

This paper uses a dynamic conditional correlation model to examine whether Bitcoin can act as a hedge and safe haven for major world stock indices, bonds, oil, gold, the general commodity index and the US dollar index. Daily and weekly data span from July 2011 to December 2015. Overall, the...

The dynamic conditional correlation (DCC) model by Engle (2002) is one of the most popular multivariate volatility models. This model is based solely on closing prices. It has been documented in the literature that the high and low prices of a given day can be used to obtain an efficient...

Using data from 214 hydro-power projects in Norway we study whether investors in renewable energy projects exert discretion about the timing of investment decisions. We know from interviews with these investors that they do not use the real options model; however, we would like to learn whether...

We investigate the link between stock returns and ESG (Environmental, Social and Governance) concerns. The ESG concerns are measured by ESG-related sentiment extracted from Google Trends and Twitter, and also by the VIX index. We find that higher ESG scores are associated with lower stock...