"Dutta, Anupam" - Selaus tekijän mukaanArtikkelit

The main objective of this paper is to forecast the realized volatility (RV) of Bitcoin futures (BTCF) market. To serve our purpose, we propose an augmented heterogenous autoregressive (HAR) model to consider the information ...

Although clean energy equities have emerged as a new asset class for market participants, especially environmentally concerned investors, existing and previous studies pay very little attention to how equity investors in ...

The study evaluates nonlinear price transmission mechanisms between clean energy stock and crude oil price in levels, mean, and error variances. We propose a novel way of combining a two-regime threshold vector error ...

The academic literature on green energy equity markets has increased extensively over the last decade due to growing concerns about climate change and the substantial flow of investments into alternative energy markets. ...

The objective of this study was to investigate the causal relationships among crude oil, ethanol and sugar prices in the context of Brazil. In doing so, we consider the application of ARDL bound tests to examine whether ...

This paper compares the tail dependence and risk spillovers from the oil and gas to high-yield (HY) and investment grade (IG) bond markets. We use time-varying optimal copula framework to examine the dependence and further ...

Unlike previous studies examining the association between crude oil and renewable energy stock prices under average conditions, we employ a quantile-based regression approach offering a more comprehensive dependence structure ...

Being an environmentally friendly fuel obtained from rapeseed oil, biodiesel is used extensively in Europe. However, the dependence structure between global crude oil prices and the European prices of biodiesel and rapeseed ...

This study investigates whether green investments are connected to oil price shocks. While earlier papers mainly investigate the linkage between clean energy stock and crude oil prices, we consider recently introduced ...

This paper investigates whether the calendar time methodology lacks power in detecting the long-run abnormalperformance of the firms after major corporate events. In addition, the study proposes a variant of calendar ...