Autori: Canepa, Alessandra , Alqaralleh, Huthaifa , Al-Saraireh, Ahmad
Titolo: Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach.
Periodico: Università degli studi di Torino. Dip. Di Economia e Statistica Cognetti de Martiis. Working paper series
Anno: 2021 - Volume: 4 - Fascicolo: 13 - Pagina iniziale: 1 - Pagina finale: 21

This study contributes to the literature on energy market risk management and portfolio management by examining co-movements between several energy commodities in a portfolio context in light of the impact of several types of uncertainty over time and under high, medium, and low frequencies. Using of wavelet decomposition analysis, we first investigate the leadlag relationship together with the power of the correlation over time between major renewable and non-renewable energy indexes and uncertainty indexes. Second, we explore the contribution of uncertainty to the energy portfolio. Our procedure reveals that a dependent relationship generally exists between energy returns and changes in uncertainty. The risks of clean energy and crude oil returns are more sensitive to financial uncertainties, whereas investing in GAS markets offers market diversification opportunities during periods of energy uncertainty.


Premi sulle icone a fianco dei nomi per visualizzare i libri scritti dall'autore

---

---

Testo completo: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2021dip/wp_13_2021.pdf

Esportazione dati in Refworks (solo per utenti abilitati)