On the dynamic dependence and investment performance of crude oil and clean energy stocks

By Wasim Ahmad. 2017

244 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/515edc7ae12107b8bdc8012451f0539b19076674

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In Economics and Econometrics

In Renewable Energy, Sustainability and the Environment

Citations in the corpus

Hedging Strategies of Green Assets against Dirty Energy Assets (2020, methodology): “This finding is somewhat related to previous studies on the oil-clean energy nexus [5,8,13,15], which generally shows a weak interaction between oil prices and clean energy stocks, especially after 2012 [16].”
Frequency connectedness and cross-quantile dependence between green bond and green equity markets (2021, background): “In this literature, a wide range of studies has explored the relationship between clean energy stock and oil prices (Henriques & Sadorsky, 2008; Kumar et al., 2012; Managi & Okimoto, 2013; Ahmad, 2017; Ferrer et al., 2018).”
The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations (2019, background): “The daily returns and risk transmissions between oil, clean energy and technology has recently been investigated by Ahmad (2017).”
Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020, unknown): “Earlier research found a weak link among oil prices and clean energy (see Henriques and Sadorsky, 2008; Sadorsky 2012; Ahmad 2017; Ferrer et al., 2018).”
Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach (2019, methodology): “…models can explain the relationship between Clean Energy Stock Indices and Gold Or Crude Oil Different econometric methods have been used such as DCC and Multivariate GARCH models (Ahmad et al., 2018; Sadorsky, 2012a), Connectedness measures (Ahmad, 2017), and Cointegration (Bondia et al., 2016).”
Do green investments react to oil price shocks? Implications for sustainable development (2020, background): “Ahmad et al. (2018) report a negative correlation between clean energy equities and OVX. Hence, the risks associated with clean energy equities can be minimized by including the OVX in the portfolio. Dutta (2019) investigates whether the information on oil, gold, and silver implied volatility indexe”
Connectedness network and dependence structure mechanism in green investments (2018, methodology): “Ahmad (2017) also identified the direction of volatility spillover between crude oil prices and stock prices of technology and clean energy companies using the MGARCH model and spillover index method.”