Journal ArticleDOI
Oil prices and the stock prices of alternative energy companies
Irene Henriques,Perry Sadorsky +1 more
TLDR
In this article, a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices, technology stock prices and oil prices, and interest rates.About:
This article is published in Energy Economics.The article was published on 2008-05-01. It has received 581 citations till now. The article focuses on the topics: Financial signal processing & Energy security.read more
Citations
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Renewable energy consumption, CO2 emissions and oil prices in the G7 countries
TL;DR: In this article, the authors present and estimate an empirical model of renewable energy consumption for the G7 countries and show that in the long term, increases in real GDP per capita and CO2 per capita are major drivers behind per capita renewable energy usage.
Journal ArticleDOI
Natural gas from shale formation – The evolution, evidences and challenges of shale gas revolution in United States
TL;DR: The history of US shale gas in this article is divided into three periods and based on the change of oil price (i.e., the period before the 1970s oil crisis, the period from 1970s to 2000, and the period since 2000), the US has moved from being one of the world's biggest importers of gas to being selfsufficient in less than a decade, with the shale gas production increasing 12fold (from 2000 to 2010).
Journal ArticleDOI
Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies
TL;DR: 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.
Journal ArticleDOI
Oil prices, exchange rates and emerging stock markets
TL;DR: In this paper, a structural vector autoregression model is proposed to investigate the dynamic relationship between oil prices, exchange rates and emerging market stock prices, and the model also captures stylized facts regarding movements in oil prices.
Journal ArticleDOI
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
TL;DR: In this paper, the authors investigate the volatility spillovers between oil and stock markets in Europe and suggest that a better understanding of those links is crucial for portfolio management in the presence of oil price risk.
References
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Journal ArticleDOI
Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
Journal ArticleDOI
Statistical inference in vector autoregressions with possibly integrated processes
Hiro Y. Toda,Taku Yamamoto +1 more
TL;DR: In this paper, the authors show how to estimate VAR's formulated in levels and test general restrictions on the parameter matrices even if the processes may be integrated or cointegrated of an arbitrary order.
Journal ArticleDOI
Generalized Impulse Response Analysis in Linear Multivariate Models
H.Hashem Pesaran,Yongcheol Shin +1 more
TL;DR: This paper proposed a generalized impulse response analysis for unrestricted vector autoregressive (VAR) and cointegrated VAR models, which does not require orthogonalization of shocks and is invariant to the ordering of the variables in the VAR.
Posted Content
Introductory Econometrics for Finance
TL;DR: The third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time as discussed by the authors.
Journal ArticleDOI
Oil price shocks and stock market activity
TL;DR: This article found that after 1986, oil price movements explained a larger fraction of the forecast error variance in real stock returns than do interest rates, and that oil price volatility shocks have asymmetric effects on the economy.