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- W2034704161 abstract "We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil returns and several global and sectoral renewable energy indices. Our evidence on systemic risk indicates that oil price dynamics significantly contributes around 30% to downside and upside risk of renewable energy companies. These results have important implications for risk management and renewable energy policies." @default.
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- W2034704161 date "2015-03-01" @default.
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- W2034704161 title "Is there dependence and systemic risk between oil and renewable energy stock prices?" @default.
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- W2034704161 doi "https://doi.org/10.1016/j.eneco.2014.12.009" @default.
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