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Impact of crude oil volatility jumps on sustainable investments: Evidence from India
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Impact of crude oil volatility jumps on sustainable investments: Evidence from India (2023)Impact of crude oil volatility jumps on s…Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Extreme return connectedness …Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index (2017)Oil price uncertainty and cle…Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Discrete-Time Volatility Fore…Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)Stock prices of clean energy …Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Threshold bipower variation a…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Oil prices and the stock prices of alternative energy companies (2007)Oil prices and the stock pric…Why Do Absolute Returns Predict Volatility So Well? (2006)Why Do Absolute Returns Predi…Modelling daily Value-at-Risk using realized volatility and ARCH type models (2004)Modelling daily Value-at-Risk…Value‐at‐risk for long and short trading positions (2003)Value‐at‐risk for long and sh…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …Periodic Autoregressive Conditional Heteroscedasticity (1996)Periodic Autoregressive Condi…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Estimating Variance From High, Low and Closing Prices (1991)Estimating Variance From High…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Macroeconomics and Reality (1980)Statistical inference in vector autoregressions with possibly integrated processes (1995)Generalized impulse response analysis in linear multivariate models (1998)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Is there dependence and systemic risk between oil and renewable energy stock prices? 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References

  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2007Oil prices and the stock prices of alternative energy companies843 cited
  • 2011Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis622 cited
  • 1991Estimating Variance From High, Low and Closing Prices617 cited
  • 2010Threshold bipower variation and the impact of jumps on volatility forecasting561 cited
  • 2020Extreme return connectedness and its determinants between clean/green and dirty energy investments452 cited
  • 2004Modelling daily Value-at-Risk using realized volatility and ARCH type models399 cited
  • 2006Why Do Absolute Returns Predict Volatility So Well?379 cited
  • 1996Periodic Autoregressive Conditional Heteroscedasticity376 cited
  • 2003Value‐at‐risk for long and short trading positions373 cited
  • 2002Conditional Jump Dynamics in Stock Market Returns358 cited
  • 2012

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Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling
337 cited
  • 2017Oil price uncertainty and clean energy stock returns: New evidence from crude oil volatility index327 cited
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