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Assessment and Optimization of Clean Energy Equity Risks and Commodity Price Volatility Indexes : Implications for Sustainability
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 ...
Modelling the volatility of crude oil returns : Jumps and volatility forecasts
(John Wiley and Sons, 2020-07-22)
We contribute to the scarce literature on the oil market volatility index (OVX) by examining the presence of time‐varying jumps in OVX and by assessing the ability of OVX to predict the conditional variance of crude oil ...
Have the anomalies following share buybacks disappeared?
(Taylor & Francis, 2015-12-10)
Although several empirical studies report significant positive long-run abnormal stock returns following share buybacks, a recent event study paper claims that such anomalies have disappeared in the most recent decade and ...
Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes
This paper analyzes the cross-quantile dependence and causality between non-ferrous metals and clean energy indices by employing data from November 2003 to May 2019. Specifically, we utilize the time-varying copulas to ...
Forecasting ethanol price volatility under structural breaks
(Society of Chemical IndustryWiley, 2020-10-06)
The use of ethanol as a vehicle fuel has reduced greenhouse gas emissions significantly. The introduction of ethanol has also led to a decrease in crude oil prices. Considering the economic and environmental significance ...
Brexit uncertainty and volatility persistence in tourism demand
(RoutledgeTaylor & Francis, 2020-09-24)
Tourism has emerged as one of the leading components of aggregate economic growth in most developed economies, especially in the UK, where it is predicted to grow at an annual rate of 3.8% through 2025. Because tourism ...
Impact of energy sector volatility on clean energy assets
We study the effect of uncertainty in energy sector firms on clean energy exchange traded funds (ETFs). In doing so, we use the information on energy sector implied volatility index (VXXLE) to reflect the risk or uncertainty ...
Climate bond, stock, gold, and oil markets : Dynamic correlations and hedging analyses during the COVID-19 outbreak
Adverse ecological effects have recently generated several eco-friendly investment opportunities including green and climate bonds. Although climate bonds have emerged as an appealing investment, little is known about their ...
Investigating the Association between Oil VIX and Equity VIX: Evidence from China
(World Scientific, 2020-05)
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 ...
Climate risk and green investments : New evidence
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. ...