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Is there dependence and systemic risk between oil and renewable energy stock prices?
16 references·16 citing·48 second hopsampled
Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Is there dependence and systemic risk bet…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Systemic Risk Measurement: Mu…Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)Stock prices of clean energy …Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Systemic Risk and International Portfolio Choice (2004)Systemic Risk and Internation…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Extreme Value Dependence in F…Dependence structures for multivariate high-frequency data in finance (2003)Dependence structures for mul…Dependence Structures for Multivariate High-Frequency Data in Finance (2002)Dependence Structures for Mul…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises (2023)The spillover effects among f…Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change (2022)Time-frequency spillovers amo…Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)Time-frequency connectedness …The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus (2021)The rise in investors’ awaren…Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Extreme return connectedness …Dependence and risk spillovers between green bonds and clean energy markets (2020)Dependence and risk spillover…Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression (2020)Crude oil prices and clean en…Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19 (2020)Co-movements and spillovers o…The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets (2019)The dynamic dependence of fos…Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019)Gold and crude oil as safe-ha…Asymmetric and extreme influence of energy price changes on renewable energy stock performance (2019)Asymmetric and extreme influe…The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)The impact of energy prices o…Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis (2018)Renewable energy, oil prices,…Optimal hedge ratios for clean energy equities (2018)Optimal hedge ratios for clea…Determinants of renewable energy growth in Sub-Saharan Africa: Evidence from panel ARDL (2018)Determinants of renewable ene…Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)Oil price uncertainty and cle…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)An Introduction to Copulas (1999)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Multivariate GARCH models: a surveyModeling Asymmetric Comovements of Asset Returns (1998)Dynamic Conditional Correlation (2002)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Economic Forces and the Stock Market (1986)Statistical inference in vector autoregressions with possibly integrated processes (1995)Generalized impulse response analysis in linear multivariate models (1998)Oil prices, exchange rates and emerging stock markets (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Portfolio Selection (1952)Coherent Measures of Risk (1999)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Modelling oil price and exchange rate co-movements (2011)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Generalized autoregressive conditional heteroskedasticity (1986)Where the Risks Lie: A Survey on Systemic Risk (2015)Conditional Tail-Risk in Cryptocurrency Markets (2018)Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold (2018)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2007Oil prices and the stock prices of alternative energy companies843 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2003Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications633 cited
  • 2011Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis622 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2004Systemic Risk and International Portfolio Choice405 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 2002

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Dependence Structures for Multivariate High-Frequency Data in Finance
381 cited
  • 2003Dependence structures for multivariate high-frequency data in finance320 cited
  • Cited by

    • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited
    • 2018Renewable energy, oil prices, and economic activity: A Granger-causality in quantiles analysis422 cited
    • 2018Determinants of renewable energy growth in Sub-Saharan Africa: Evidence from panel ARDL337 cited
    • 2017Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index327 cited
    • 2021Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis323 cited
    • 2020Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression297 cited
    • 2019The dynamic dependence of fossil energy, investor sentiment and renewable energy stock markets294 cited
    • 2020Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19292 cited
    • 2020Dependence and risk spillovers between green bonds and clean energy markets284 cited
    • 2021The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus246 cited
    • 2019Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach245 cited
    • 2023The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises244 cited
    • 2019Asymmetric and extreme influence of energy price changes on renewable energy stock performance238 cited
    • 2018The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach224 cited
    • 2022Time-frequency spillovers among carbon, fossil energy and clean energy markets: The effects of attention to climate change219 cited
    • 2018Optimal hedge ratios for clean energy equities217 cited