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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 ...
Oil and non-energy commodity markets : an empirical analysis of volatility spillovers and hedging effectiveness
(Cogent OA, an imprint of Taylor & Francis, 2017-05-05)
Although a large number of empirical papers have examined the price spillover in global oil and non-energy commodity markets, very little is known about the volatility transmission between these two markets. The present ...
Cointegration and nonlinear causality among ethanol-related prices : evidence from Brazil
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 ...
Assessing the risk of the European Union carbon allowance market : structural breaks and forecasting performance
Purpose - The purpose of this paper is to examine the impact of structural breaks on the conditional variance of carbon emission allowance prices. Design/methodology/approach - The authors employ the symmetric GARCH model, ...
Forecasting the volatility of biofuel feedstock prices : the US evidence
Given that, nowadays, 40% of the US corn crop is used for biofuel production, there is a growing concern that the rise in biofuel production might lead to an increase in food prices. However, it is also obvious that ...