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Assessment and Optimization of Clean Energy Equity Risks and Commodity Price Volatility Indexes : Implications for Sustainability

Dutta, Anupam; Bouri, Elie; Das, Debojyoti; Roubaud, David (Elsevier, 10.01.2020)
article

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 ...
Investigating the Association between Oil VIX and Equity VIX: Evidence from China

Dutta, Anupam; Rothovius, Timo; Nikkinen, Jussi; Goutte, Stéphane; Guesmi, Khaled (World Scientific, 05 / 2020)
bookPart

To the best of our knowledge, this is the initial study to investigate the linkages between implied volatilities of global crude oil and Chinese equity markets. At the empirical stage, the bivariate VAR-GARCH model has ...