000121166 001__ 121166
000121166 005__ 20240319081015.0
000121166 0247_ $$2doi$$a10.1016/j.egyr.2022.11.146
000121166 0248_ $$2sideral$$a131782
000121166 037__ $$aART-2022-131782
000121166 041__ $$aeng
000121166 100__ $$0(orcid)0000-0003-1205-1756$$aGargallo, Pilar$$uUniversidad de Zaragoza
000121166 245__ $$aDynamic risk management in European energy portfolios: Evolution of the role of clean and carbon markets
000121166 260__ $$c2022
000121166 5060_ $$aAccess copy available to the general public$$fUnrestricted
000121166 5203_ $$aThis paper examines the potential of clean energy stocks and emission permits to reduce downside risk when combining them in a portfolio with dirty energy assets. We propose a strategy for building portfolios that are well diversified between equity energy and carbon markets that takes into account their dynamic price relationship. The asset allocation proposed is framed in a volatility-timing context, which reacts to changing market conditions, holding different weights at different times. To achieve this objective, we use multivariate GARCH models, specifically the Asymmetric Dynamic Conditional Correlations family, which allow us to obtain good estimations of the conditional covariance matrices of the daily asset returns. To determine the weights of the optimum minimum-risk portfolio, we use a method based on Engle and Colacito (2006) to compare the portfolio volatilities obtained with different models. The analysed period runs from January 19, 2010, to April 4, 2022, which, on the one hand, includes more than twelve years of the EU Emissions Trading System (EU ETS) beyond the Phase I pilot; and, on the other, considers the latest crisis episodes (Sovereign debt crisis, Brexit COVID-19, and the recent Russo–Ukrainian war). Our findings show that investing in clean energy companies is now valuable not only because of its contribution to a sustainable energy transition to renewable sources, but also due to its attractiveness from a financial point of view. This fact provides a ray of hope in terms of the climate emergency and avoiding the current geopolitical conflicts principally caused by certain countries’ energy dependence because their energy mix is still heavily overpowered by fossil fuels. The results of this research should encourage investors to decarbonise their equity portfolios, thus promoting the needed alignment of the financial system with the requirements of the energy transition.
000121166 536__ $$9info:eu-repo/grantAgreement/ES/DGA/S41-20R
000121166 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
000121166 590__ $$a5.2$$b2022
000121166 592__ $$a0.973$$b2022
000121166 591__ $$aENERGY & FUELS$$b55 / 119 = 0.462$$c2022$$dQ2$$eT2
000121166 593__ $$aEnergy (miscellaneous)$$c2022$$dQ2
000121166 594__ $$a5.6$$b2022
000121166 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000121166 700__ $$0(orcid)0000-0003-2448-5228$$aLample, Luis$$uUniversidad de Zaragoza
000121166 700__ $$0(orcid)0000-0003-1394-9816$$aMiguel, Jesús A.$$uUniversidad de Zaragoza
000121166 700__ $$0(orcid)0000-0002-5788-6661$$aSalvador, Manuel$$uUniversidad de Zaragoza
000121166 7102_ $$14014$$2623$$aUniversidad de Zaragoza$$bDpto. Economía Aplicada$$cÁrea Métodos Cuant.Econ.Empres
000121166 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000121166 773__ $$g8 (2022), 15654-15668$$pEnergy Rep.$$tEnergy Reports$$x2352-4847
000121166 8564_ $$s3055445$$uhttps://zaguan.unizar.es/record/121166/files/texto_completo.pdf$$yVersión publicada
000121166 8564_ $$s2982924$$uhttps://zaguan.unizar.es/record/121166/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000121166 909CO $$ooai:zaguan.unizar.es:121166$$particulos$$pdriver
000121166 951__ $$a2024-03-18-15:34:11
000121166 980__ $$aARTICLE