社会联系
可缩放矢量图形
投资(军事)
计算机科学
计量经济学
数学
万维网
心理学
政治学
社会心理学
政治
法学
作者
Teodoro D. Cocca,David Gabauer,Stefan Pomberger
标识
DOI:10.1016/j.eneco.2024.107680
摘要
In this study, we investigate the return propagation mechanism across four clean energy indices, namely, the NASDAQ OMX Green Economy Index, NASDAQ OMX Solar Energy Index, NASDAQ OMX Wind Energy Index, and NASDAQ OMX Geothermal Energy Index ranging from December 21st, 2010 until June 2nd, 2023 by using a novel DCC-GARCH-based R2 decomposed connectedness approach. This framework allows us to efficiently decompose dynamic conditional R2 goodness-of-fit measures into its decomposed components. Furthermore, we introduce the concept of minimum R2 decomposed connectedness portfolios and multivariate hedging portfolios. We find that the dynamic total connectedness is heterogeneous over time and economic-event dependent. In addition, the empirical results highlight that the NASDAQ OMX Green Economy Index is a net transmitter of shocks while all others are net receivers of shocks. Finally, we find that our proposed portfolio technique outperforms the NASDAQ OMX Green Economy Index as well as all alternative multivariate portfolio techniques regarding the hedging effectiveness score and the Sharpe ratio.
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