Estimating the market risk of clean energy technologies companies using the expected shortfall approach
Author
Abstract
Suggested Citation
DOI: 10.1016/j.renene.2021.05.134
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Timotheos Angelidis & Stavros Degiannakis, 2005.
"Modeling risk for long and short trading positions,"
Journal of Risk Finance, Emerald Group Publishing Limited, vol. 6(3), pages 226-238, July.
- Angelidis, Timotheos & Degiannakis, Stavros, 2005. "Modeling Risk for Long and Short Trading Positions," MPRA Paper 80467, University Library of Munich, Germany.
- Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013.
"Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence,"
International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
- Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel R. Smith, 2011.
"Evaluating Value-at-Risk Models via Quantile Regression,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 150-160, January.
- Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
- Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department.
- Gaglianone, Wagner Piazza & Linton, Oliver & Lima, Luiz Renato Regis de Oliveira, 2008. "Evaluating Value-at-Risk models via Quantile regressions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 679, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2010. "Evaluating Value-at-Risk Models via Quantile Regression," NCER Working Paper Series 67, National Centre for Econometric Research.
- Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel, 2009. "Evaluating Value-at-Risk models via Quantile Regression," UC3M Working papers. Economics we094625, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pierre Giot & Sébastien Laurent, 2003.
"Value-at-risk for long and short trading positions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663.
- GIOT, Pierre & LAURENT, Sébastien, 2001. "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE 2001022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & LAURENT, Sébastien, 2003. "Value-at-Risk for long and short trading positions," LIDAM Reprints CORE 1707, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pierre Giot and S»bastien Laurent, 2001. "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001 94, Society for Computational Economics.
- Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013.
"Does the price of oil interact with clean energy prices in the stock market?,"
Japan and the World Economy, Elsevier, vol. 27(C), pages 1-9.
- Managi, Shunsuke & Managi, Shunsuke & Okimoto, Tatsuyoshi, 2013. "Does the price of oil interact with clean energy prices in the stock market?," MPRA Paper 46067, University Library of Munich, Germany.
- Acerbi, Carlo & Tasche, Dirk, 2002.
"On the coherence of expected shortfall,"
Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
- Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
- Christoffersen, Peter, 2011.
"Elements of Financial Risk Management,"
Elsevier Monographs,
Elsevier,
edition 2, number 9780123744487.
- Christoffersen, Peter, 2003. "Elements of Financial Risk Management," Elsevier Monographs, Elsevier, edition 1, number 9780121742324.
- White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015.
"VAR for VaR: Measuring tail dependence using multivariate regression quantiles,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
- Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
- Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015. "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series 1814, European Central Bank.
- Sadorsky, Perry, 2012. "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies," Energy Economics, Elsevier, vol. 34(1), pages 248-255.
- Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series 957, European Central Bank.
- Degiannakis, Stavros & Potamia, Artemis, 2017.
"Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data,"
International Review of Financial Analysis, Elsevier, vol. 49(C), pages 176-190.
- Degiannakis, Stavros & Potamia, Artemis, 2016. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data," MPRA Paper 74670, University Library of Munich, Germany.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
- Iglesias, Emma M., 2015. "Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation," Economic Modelling, Elsevier, vol. 50(C), pages 1-8.
- Lo, Andrew W. & Craig MacKinlay, A., 1990.
"An econometric analysis of nonsynchronous trading,"
Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
- Andrew W. Lo & Craig A. MacKinlay, "undated". "An Econometric Analysis of Nonsyschronous-Trading," Rodney L. White Center for Financial Research Working Papers 19-89, Wharton School Rodney L. White Center for Financial Research.
- Andrew W. Lo & A. Craig MacKinlay, 1989. "An Econometric Analysis of Nonsynchronous Trading," NBER Working Papers 2960, National Bureau of Economic Research, Inc.
- Danielsson, Jon & Zhou, Chen, 2015.
"Why risk is so hard to measure,"
LSE Research Online Documents on Economics
62002, London School of Economics and Political Science, LSE Library.
- Jon Danielsson & Chen Zhou, 2016. "Why risk is so hard to measure," DNB Working Papers 494, Netherlands Central Bank, Research Department.
- Buccioli, Alice & Kokholm, Thomas & Nicolosi, Marco, 2019. "Expected shortfall and portfolio management in contagious markets," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 100-115.
- Ashis Kumar Pradhan & Ishan Mittal & Aviral Kumar Tiwari, 2021. "Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 14(3), pages 291-307, September.
- Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
- Zaichao Du & Juan Carlos Escanciano, 2017.
"Backtesting Expected Shortfall: Accounting for Tail Risk,"
Management Science, INFORMS, vol. 63(4), pages 940-958, April.
- Juan Carlos Escanciano & Zaichao Du, 2015. "Backtesting Expected Shortfall: Accounting for Tail Risk," CAEPR Working Papers 2015-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Timotheos Angelidis & Stavros Degiannakis, 2005. "Modeling risk for long and short trading positions," Journal of Risk Finance, Emerald Group Publishing, vol. 6(3), pages 226-238, May.
- Henriques, Irene & Sadorsky, Perry, 2008. "Oil prices and the stock prices of alternative energy companies," Energy Economics, Elsevier, vol. 30(3), pages 998-1010, May.
- Iglesias, Emma M., 2015. "Value at Risk of the main stock market indexes in the European Union (2000–2012)," Journal of Policy Modeling, Elsevier, vol. 37(1), pages 1-13.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Wang, Yajun & Huang, Junbing, 2022. "Pathway to develop a low-carbon economy through energy-substitution technology in China," Energy, Elsevier, vol. 261(PA).
- Khalfaoui, Rabeh & Mefteh-Wali, Salma & Viviani, Jean-Laurent & Ben Jabeur, Sami & Abedin, Mohammad Zoynul & Lucey, Brian M., 2022.
"How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?,"
Technological Forecasting and Social Change, Elsevier, vol. 185(C).
- Rabeh Khalfaoui & Salma Mefteh-Wali & Jean-Laurent Viviani & Sami Ben Jabeur & Mohammad Zoynul Abedin & Brian Lucey, 2022. "How do climate risk and clean energy spillovers, and uncertainty affect U.S. stock markets?," Post-Print hal-03797937, HAL.
- Kamal, Elham & Bouri, Elie, 2023. "Dependence structure among rare earth and financial markets: A multiscale-vine copula approach," Resources Policy, Elsevier, vol. 83(C).
- Popkova, Elena G. & Sergi, Bruno S., 2024. "Energy infrastructure: Investment, sustainability and AI," Resources Policy, Elsevier, vol. 91(C).
- Syuhada, Khreshna & Hakim, Arief, 2024. "Risk quantification and validation for green energy markets: New insight from a credibility theory approach," Finance Research Letters, Elsevier, vol. 62(PA).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Degiannakis, Stavros & Potamia, Artemis, 2017.
"Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data,"
International Review of Financial Analysis, Elsevier, vol. 49(C), pages 176-190.
- Degiannakis, Stavros & Potamia, Artemis, 2016. "Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: inter-day versus intra-day data," MPRA Paper 74670, University Library of Munich, Germany.
- Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
- Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013.
"Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence,"
International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
- Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting Value-at-Risk and Expected Shortfall using Fractionally Integrated Models of Conditional Volatility: International Evidence," MPRA Paper 80433, University Library of Munich, Germany.
- Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
- Asl, Mahdi Ghaemi & Canarella, Giorgio & Miller, Stephen M., 2021.
"Dynamic asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies,"
Resources Policy, Elsevier, vol. 71(C).
- Mahdi Ghaemi Asl & Giorgio Canarella & Stephen M. Miller, 2020. "Dynamic Asymmetric Optimal Portfolio Allocation between Energy Stocks and Energy Commodities: Evidence from Clean Energy and Oil and Gas Companies," Working papers 2020-07, University of Connecticut, Department of Economics.
- Tan, Xueping & Geng, Yong & Vivian, Andrew & Wang, Xinyu, 2021. "Measuring risk spillovers between oil and clean energy stocks: Evidence from a systematic framework," Resources Policy, Elsevier, vol. 74(C).
- Yahya, Muhammad & Ghosh, Sajal & Kanjilal, Kakali & Dutta, Anupam & Uddin, Gazi Salah, 2020. "Evaluation of cross-quantile dependence and causality between non-ferrous metals and clean energy indexes," Energy, Elsevier, vol. 202(C).
- Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
- Fahmy, Hany, 2022. "The rise in investors’ awareness of climate risks after the Paris Agreement and the clean energy-oil-technology prices nexus," Energy Economics, Elsevier, vol. 106(C).
- Lundgren, Amanda Ivarsson & Milicevic, Adriana & Uddin, Gazi Salah & Kang, Sang Hoon, 2018. "Connectedness network and dependence structure mechanism in green investments," Energy Economics, Elsevier, vol. 72(C), pages 145-153.
- Fahmy, Hany, 2022. "Clean energy deserves to be an asset class: A volatility-reward analysis," Economic Modelling, Elsevier, vol. 106(C).
- Dutta, Anupam & Bouri, Elie & Rothovius, Timo & Uddin, Gazi Salah, 2023. "Climate risk and green investments: New evidence," Energy, Elsevier, vol. 265(C).
- Fernanda Fuentes & Rodrigo Herrera, 2020. "Dynamics of Connectedness in Clean Energy Stocks," Energies, MDPI, vol. 13(14), pages 1-19, July.
- Timo Dimitriadis & Xiaochun Liu & Julie Schnaitmann, 2020.
"Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary,"
Papers
2009.07341, arXiv.org.
- Dimitriadis, Timo & Liu, Xiaochun & Schnaitmann, Julie, 2020. "Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2020, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
- Hanif, Waqas & Arreola Hernandez, Jose & Kang, Sang Hoon & Boako, Gideon & Yoon, Seong-Min, 2024. "Interdependence and spillovers between big oil companies and regional and global energy equity markets," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 451-469.
- Bondia, Ripsy & Ghosh, Sajal & Kanjilal, Kakali, 2016. "International crude oil prices and the stock prices of clean energy and technology companies: Evidence from non-linear cointegration tests with unknown structural breaks," Energy, Elsevier, vol. 101(C), pages 558-565.
- Jiang, Yonghong & Wang, Jieru & Lie, Jiayi & Mo, Bin, 2021. "Dynamic dependence nexus and causality of the renewable energy stock markets on the fossil energy markets," Energy, Elsevier, vol. 233(C).
- Uddin, Gazi Salah & Rahman, Md Lutfur & Hedström, Axel & Ahmed, Ali, 2019. "Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes," Energy Economics, Elsevier, vol. 80(C), pages 743-759.
- Chen, Yufeng & Zheng, Biao & Qu, Fang, 2020. "Modeling the nexus of crude oil, new energy and rare earth in China: An asymmetric VAR-BEKK (DCC)-GARCH approach," Resources Policy, Elsevier, vol. 65(C).
- Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, vol. 41(C), pages 63-75.
More about this item
Keywords
Financial crises; Clean energy; Risk management; Multi-quantile regression; Forecast validation;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:renene:v:177:y:2021:i:c:p:95-100. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/renewable-energy .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.