liu.seSök publikationer i DiVA
Ändra sökning
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach
Holy Spirit Univ Kaslik, Lebanon.
Univ St Joseph, Lebanon.
Univ Vaasa, Finland.
Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Nationalekonomi. Linköpings universitet, Filosofiska fakulteten.
2019 (Engelska)Ingår i: Energy, ISSN 0360-5442, E-ISSN 1873-6785, Vol. 178, s. 544-553Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

In this study, we examine the potential roles of gold and crude oil as safe-haven assets against extreme down movements in clean energy stock indices. We employ copulas on daily data from November 21st, 2003 to March 30th, 2018 covering two clean energy stock indices, the Samp;P Global Clean Energy and the WilderHill Clean Energy. Instead of adopting a priori selection of the best copula function based on a single copula, we consider single and mixture copulas to better illustrate the dependence between the pairs of variables under study. We also apply parametric as well as non-parametric tail dependencies measures. Empirical results show that both crude oil and gold are no more than weak safe-haven assets for clean energy indices. However, the superiority of crude oil to gold is evidenced in case of infinitely extreme market movements. This superiority is validated for WilderHill Clean Energy Index but endorsed to gold when examined against Global Clean Energy Index, in extreme market movements. (C) 2019 Elsevier Ltd. All rights reserved.

Ort, förlag, år, upplaga, sidor
PERGAMON-ELSEVIER SCIENCE LTD , 2019. Vol. 178, s. 544-553
Nyckelord [en]
Safe-haven; Gold; Crude oil; Clean energy stock indices; Tail-dependence; Copula
Nationell ämneskategori
Energisystem
Identifikatorer
URN: urn:nbn:se:liu:diva-158951DOI: 10.1016/j.energy.2019.04.155ISI: 000472686300044OAI: oai:DiVA.org:liu-158951DiVA, id: diva2:1338155
Anmärkning

Funding Agencies|Jan Wallander and Tom Hedelius Foundation [W2016-0364:1]

Tillgänglig från: 2019-07-19 Skapad: 2019-07-19 Senast uppdaterad: 2019-07-19

Open Access i DiVA

Fulltext saknas i DiVA

Övriga länkar

Förlagets fulltext

Sök vidare i DiVA

Av författaren/redaktören
Uddin, Gazi Salah
Av organisationen
NationalekonomiFilosofiska fakulteten
I samma tidskrift
Energy
Energisystem

Sök vidare utanför DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetricpoäng

doi
urn-nbn
Totalt: 6 träffar
RefereraExporteraLänk till posten
Permanent länk

Direktlänk
Referera
Referensformat
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annat format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annat språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf