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- W3048605026 abstract "This paper investigates the risk spillovers from geopolitical risk to five renewable energy stock markets by measuring four types of (normalized) delta conditional Value-at-Risk incorporating the variational mode decomposition and time-varying copula approaches, and further tests the possible asymmetries of risk spillovers. The empirical results manifest that, there are significant risk spillovers from geopolitical risk to renewable energy stock markets and the risk spillovers do not exhibit as clear positive or negative pattern. Next, the asymmetries of risk spillovers widely exist on the following three facets. First, the risk spillovers from stock and oil market uncertainties are obviously higher than that from geopolitical risk in most cases, whereas geopolitical risk manifests similar short-run effects on China’s renewable energy stock market as the other two uncertainties. Second, the downside risks of renewable energy stock markets are more sensitive to the variations of stock and oil market uncertainties, while the risk spillovers from geopolitical risk are more symmetric during bull and bear market periods. Finally, there are significantly greater long-run risk spillovers to China’s renewable energy stock market. Conversely, the other four markets are more heavily shocked in the short-run." @default.
- W3048605026 created "2020-08-18" @default.
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- W3048605026 date "2021-01-01" @default.
- W3048605026 modified "2023-10-14" @default.
- W3048605026 title "Geopolitical risk and renewable energy stock markets: An insight from multiscale dynamic risk spillover" @default.
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- W3048605026 doi "https://doi.org/10.1016/j.jclepro.2020.123429" @default.
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