This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios from the Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas...

This article investigates the efficacy of a volatility model for three crude oil markets -- Brent, Dubai, and West Texas Intermediate (WTI) -- with regard to its ability to forecast and identify volatility stylized facts, in particular volatility persistence or long memory. In this context, we...

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...

Increased financial integration between countries and the financialization of commodity markets are providing investors with new ways to diversify their investment portfolios. This paper uses VARMA-AGARCH and DCC-AGARCH models to model volatilities and conditional correlations between emerging...

The theories of ecological modernization and urban environmental transition both recognize that urbanization can have positive and negative impacts on the natural environment with the net effect being hard to determine a priori. This study uses recently developed panel regression techniques that...

While two different streams of literature exist investigating 1) the relationship between oil prices and emerging market stock prices and 2) the relationship between oil prices and exchange rates, relatively little is known about the dynamic relationship between oil prices, exchange rates and...

In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies. Four different multivariate GARCH models (BEKK, diagonal, constant conditional...

Against a backdrop of concerns about climate change, peak oil, and energy security issues, reducing energy intensity is often advocated as a way to at least partially mitigate these impacts. This study uses recently developed heterogeneous panel regression techniques like mean group estimators...

Energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements. While it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies, there has been relatively little...