Conditional dependence between oil price and stock prices of renewable energy: a vine copula approach  

作　　者：Hanene Mejdoub Ahmed Ghorbel 

机构地区：[1]Faculty of Management and Economics of Sfax,GFA lab,University of Sfax,Sfax,Tunisia [2]Faculty of Management and Economics of Sfax,CODECI,University of Sfax,Sfax,Tunisia

出　　处：《Economic and Political Studies》2018年第2期176-193,共18页经济与政治研究（英文版）

摘　　要：The current paper focusses on the co-movement between oil prices and renewable energy stock markets in a multivariate framework.The vine copula approach that offers a great flexibility in conditional dependence modelling is used.More specifically,we investigate the issue of the average dependence and co-movement between oil prices(West Texas Intermediate[WTI])and renewable energy stock prices(Wilder Hill New Energy Global Innovation Index[NEX],Wilder Hill Clean Energy Index[ECO]and S and P Global Clean Energy Index[SPGCE])by applying the vine copula based threshold generalised autoregressive conditional heteroskedasticity(TGARCH)model.Over the period 2003–2016,empirical findings reveal significant and symmetric dependence between the considered markets.Therefore,there is symmetric tail dependence,indicating the evidence of upper and lower tail dependence.This means that movements in oil prices and renewable energy indices are coupled to the same direction.These empirical insights are of particular interest to policymakers,risk managers and investors in renewable energy sector.

关 键 词：Renewable energy oil price CO-MOVEMENT tail dependence vine copula 

分 类 号：F42[经济管理—产业经济]