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Reboredo, Juan C.
Energy economics, March 2015, 2015-03-00, 20150301, Letnik: 48Journal Article
We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices. Our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30% to downside and upside risk of renewable energy companies. These results have important implications for risk management and renewable energy policies. •We study systemic risk and dependence between oil and renewable energy markets.•Dependence and conditional value-at-risk is obtained through copulas.•Oil and renewable energy displayed time-varying average and symmetric tail dependence.•Oil price contribution to the downside and upside risks of renewable energy companies was around 30%.
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Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
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JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
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in: SICRIS
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