Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach

By B. Elie, J. Naji, Anupam Dutta, Gazi Salah Uddin. Energy, 2019

213 citations recorded by the source corpus.

Abstract In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the S&P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements.

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

View Paper: https://www.semanticscholar.org/paper/edcb09f4fcf45275540e30f06eca49ffc73128d8

Citations in the corpus

• Forecasting gold price with the XGBoost algorithm and SHAP interaction values (2021, unknown): “…et al., 2019; Beckmann & Czudaj, 2013), currencies (Beckmann & Czudaj, 2013; Kristjanpoller & Minutolo, 2016), metals (Bha‑ tia et al., 2018; Schweikert, 2018), crude oil (Elie et al., 2019; Kanjilal & Ghosh, 2017; Sephton & Mann, 2018) and exchange rates (Akbar et al., 2019; Singhal et al., 2019).”
• A Random Forests Approach to Predicting Clean Energy Stock Prices (2021, unknown): “…equity dynamics that largely focuses on the impact of oil prices on clean energy stock returns (Bondia et al. 2016; Dutta 2017; Dutta et al. 2018; Elie et al. 2019; Gupta 2017; Henriques and Sadorsky 2008; Kumar et al. 2012; Maghyereh et al. 2019; Managi and Okimoto 2013; Reboredo 2015; Reboredo…”