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Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

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  • Bianconi, Marcelo
  • Yoshino, Joe A.

Abstract

We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012.

Suggested Citation

  • Bianconi, Marcelo & Yoshino, Joe A., 2014. "Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector," Energy Economics, Elsevier, vol. 45(C), pages 19-32.
  • Handle: RePEc:eee:eneeco:v:45:y:2014:i:c:p:19-32
    DOI: 10.1016/j.eneco.2014.06.018
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    1. repec:eee:ecofin:v:42:y:2017:i:c:p:513-530 is not listed on IDEAS
    2. repec:taf:applec:v:49:y:2017:i:9:p:929-939 is not listed on IDEAS
    3. repec:eee:appene:v:215:y:2018:i:c:p:630-642 is not listed on IDEAS
    4. Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
    5. Zhi-Fu Mi & Yi-Ming Wei & Bao-Jun Tang & Rong-Gang Cong & Hao Yu & Hong Cao & Dabo Guan, 2017. "Risk assessment of oil price from static and dynamic modelling approaches," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 929-939, February.
    6. repec:eee:eneeco:v:68:y:2017:i:c:p:228-239 is not listed on IDEAS
    7. Umar, Zaghum, 2017. "The demand of energy from an optimal portfolio choice perspective," Economic Modelling, Elsevier, vol. 61(C), pages 478-494.

    More about this item

    Keywords

    Return on stocks; Price of risk; Value at risk; Oil and gas industry; Dynamic conditional correlation;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • Q3 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation
    • L72 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Other Nonrenewable Resources

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