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Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

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  • Bianconi, Marcelo
  • Yoshino, Joe A.

Abstract

We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012.

Suggested Citation

  • Bianconi, Marcelo & Yoshino, Joe A., 2014. "Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector," Energy Economics, Elsevier, vol. 45(C), pages 19-32.
    • Handle: RePEc:eee:eneeco:v:45:y:2014:i:c:p:19-32
    DOI: 10.1016/j.eneco.2014.06.018
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    7. Ali Raza & Maryam Khokhar & Reyna Esperanza Zea Gordillo & Faisal Ejaz & Tahir Saeed Jagirani & Fodor Zita Júlia & Md Billal Hossain, 2024. "Economic Gains and Losses for Sustainable Policy Development of Crude Oil Resources: A Historical Perspective of Indian Subcontinent," International Journal of Energy Economics and Policy, Econjournals, vol. 14(2), pages 642-655, March.
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    9. Zhi-Fu Mi & Yi-Ming Wei & Bao-Jun Tang & Rong-Gang Cong & Hao Yu & Hong Cao & Dabo Guan, 2017. "Risk assessment of oil price from static and dynamic modelling approaches," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 929-939, February.
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    13. Li, Jingyu & Li, Jianping & Zhu, Xiaoqian, 2020. "Risk dependence between energy corporations: A text-based measurement approach," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 33-46.
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    More about this item

    Keywords

    Return on stocks; Price of risk; Value at risk; Oil and gas industry; Dynamic conditional correlation;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • Q3 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation
    • L72 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Other Nonrenewable Resources

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