Volatility spillovers and conditional correlations between oil, renewables and stock markets: A multivariate GARCH-in-mean analysis

We investigate linkages between three different markets: renewable energy (represented by a range of renewable energy ETFs); traditional energy (represented by crude oil ETF); and common stocks (represented by the S&P 500 Index ETF). We use daily data from 2008 to 2021. The econometric framework...

全面介绍

书目详细资料

发表在:	Energy Strategy Reviews
Main Authors:	Wenxue Wang, Peter G. Moffatt, Zheng Zhang, Muhammad Yousaf Raza
格式:	文件
语言:	英语
出版:	Elsevier 2025-01-01
主题:	Volatility spillovers Conditional variance GARCH-in-mean Crude oil future Renewable energy Exchange-traded fund
在线阅读:	http://www.sciencedirect.com/science/article/pii/S2211467X25000021