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• W2790460293 abstract "In a first step, we model the multivariate tail dependence structure and spillover effects across energy commodities such as crude oil, natural gas, ethanol, heating oil, coal and gasoline using canonical vine (C-vine) copula and c-vine conditional Value-at-Risk (CoVaR). In the second step, we formulate portfolio strategies based on different performance measures to analyze the risk reduction and diversification potential of carbon assets for energy commodities. We identify greater exposure to losses arising from investments in heating oil and ethanol markets. We also find evidence of carbon asset providing diversification benefits to energy commodity investments. These findings motivate for regulatory adjustments in the trading and emission permits for the energy markets most strongly diversified by carbon assets." @default.
• W2790460293 created "2018-03-29" @default.
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• W2790460293 date "2018-03-01" @default.
• W2790460293 modified "2023-09-28" @default.
• W2790460293 title "Multivariate dependence and spillover effects across energy commodities and diversification potentials of carbon assets" @default.
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• W2790460293 doi "https://doi.org/10.1016/j.eneco.2018.01.035" @default.
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