This is a replication file for Sadorsky(2012), "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies", Energy Economics, vol 34, pp 248-255. This analyses a three variable VAR-GARCH model with (returns on) oil, "clean" energy stocks and general technology stocks. Using a DCC-VARMA model for the variance, it computes time-varying hedge ratios and portfolio weights.
sadorsky_ee2012.zip
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Sadorsky EE 2012
Sadorsky EE 2012
Last bumped by TomDoan on Wed Apr 17, 2019 2:04 pm.