Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Shaun K. Roache, 2008. "Commodities and the Market Price of Risk," IMF Working Papers 08/221, International Monetary Fund.
- Khalfaoui, R & Boutahar, M, 2012.
"Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis,"
41624, University Library of Munich, Germany.
- R. Khalfaoui & M. Boutahar, 2012. "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers halshs-00793068, HAL.
- Rabeh Khalfaoui & Mohammed Boutahar, 2012. "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers 1208, Aix-Marseille School of Economics, Marseille, France.
- Sunil K. Mohanty & Mohan Nandha, 2011. "Oil Risk Exposure: The Case of the U.S. Oil and Gas Sector," The Financial Review, Eastern Finance Association, vol. 46(1), pages 165-191, February.
- Sadorsky, Perry, 2001. "Risk factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 23(1), pages 17-28, January.
- Boyer, M. Martin & Filion, Didier, 2007.
"Common and fundamental factors in stock returns of Canadian oil and gas companies,"
Elsevier, vol. 29(3), pages 428-453, May.
- M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO.
- Chiou, Jer-Shiou & Lee, Yen-Hsien, 2009. "Jump dynamics and volatility: Oil and the stock markets," Energy, Elsevier, vol. 34(6), pages 788-796.
- De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-636, May-June.
- Ramos, Sofia B. & Veiga, Helena, 2011.
"Risk factors in oil and gas industry returns: International evidence,"
Elsevier, vol. 33(3), pages 525-542, May.
- Veiga, Helena & Ramos, Sofia B., 2009. "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS ws096920, Universidad Carlos III de Madrid. Departamento de Estadística.
- Massimo Giovannini & Margherita Grasso & Alessandro Lanza & Matteo Manera, 2006.
"Conditional correlations in the returns on oil companies stock prices and their determinants,"
Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 33(4), pages 193-207, September.
- Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004. "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers 2004.71, Fondazione Eni Enrico Mattei.
- Francesco Ravazzolo & Marco J. Lombardi, 2012.
"Oil price density forecasts: Exploring the linkages with stock markets,"
No 3/2012, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
- Paul H. Kupiec, 1995. "Techniques for verifying the accuracy of risk measurement models," Finance and Economics Discussion Series 95-24, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-144, January.
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "DMARIANO: RATS procedure to compute Diebold-Mariano Forecast Comparison Test," Statistical Software Components RTS00055, Boston College Department of Economics.
- Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, pages 975-1020 Elsevier.
- PIERRET, Diane, 2013. "The systemic risk of energy markets," CORE Discussion Papers 2013018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Perry Sadorsky, 2008. "The oil price exposure of global oil companies," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(2), pages 93-96.
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
- Ferson, Wayne E. & Harvey, Campbell R., 1994.
"Sources of risk and expected returns in global equity markets,"
Journal of Banking & Finance,
Elsevier, vol. 18(4), pages 775-803, September.
- Wayne E. Ferson & Campbell R. Harvey, 1994. "Sources of Risk and Expected Returns in Global Equity Markets," NBER Working Papers 4622, National Bureau of Economic Research, Inc.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Rabemananjara, R & Zakoian, J M, 1993. "Threshold Arch Models and Asymmetries in Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(1), pages 31-49, Jan.-Marc.
- Elyasiani, Elyas & Mansur, Iqbal & Odusami, Babatunde, 2011. "Oil price shocks and industry stock returns," Energy Economics, Elsevier, vol. 33(5), pages 966-974, September.
- Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
- Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
- G. David Haushalter, 2000. "Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers," Journal of Finance, American Finance Association, vol. 55(1), pages 107-152, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:eee:appene:v:215:y:2018:i:c:p:630-642 is not listed on IDEAS
- repec:taf:applec:v:49:y:2017:i:9:p:929-939 is not listed on IDEAS
- repec:eee:eneeco:v:68:y:2017:i:c:p:228-239 is not listed on IDEAS
- Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
- 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,"
Taylor & Francis Journals, vol. 49(9), pages 929-939, February.
- 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," CEEP-BIT Working Papers 102, Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology.
- repec:eee:ecofin:v:42:y:2017:i:c:p:513-530 is not listed on IDEAS
- 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
KeywordsReturn on stocks; price of risk; value at risk; oil and gas industry; dynamic conditional correlation (DCC);
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
- NEP-ENE-2013-02-03 (Energy Economics)
- NEP-RMG-2013-02-03 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tuf:tuftec:0773. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcus Weir). General contact details of provider: http://ase.tufts.edu/economics .