000130493 001__ 130493 000130493 005__ 20240319080958.0 000130493 0247_ $$2doi$$a10.1016/j.frl.2022.102957 000130493 0248_ $$2sideral$$a128727 000130493 037__ $$aART-2022-128727 000130493 041__ $$aeng 000130493 100__ $$0(orcid)0000-0003-1205-1756$$aGargallo, P.$$uUniversidad de Zaragoza 000130493 245__ $$aDynamic comparison of portfolio risk: Clean vs dirty energy 000130493 260__ $$c2022 000130493 5060_ $$aAccess copy available to the general public$$fUnrestricted 000130493 5203_ $$aThis paper analyses whether investing in clean energy significantly worsens the risk level of investors. To that aim, we propose a dynamic strategy to carry out a comparative risk analysis of three minimum-variance portfolios: a portfolio made up exclusively of dirty energies, a portfolio made up only of clean energy assets, and a portfolio combined with the two types of energies. To that aim, we use multivariate GARCH models, concretely Asymmetric Dynamic Conditional Correlations models (ADCC-GARCH) to predict the variance and covariance matrices of the daily asset returns and we compare the portfolio volatilities using the methodology proposed by Engle and Colacito (2006). The analysed period was from January 2010 to September 2021, so that the data include half of phase II, full phase III and the onset of phase IV of the EU ETS, as well as the Brexit and COVID-19 outbreaks in the European context. Our results show that, unlike what happened in other economic crises (subprime, Brexit), from the pandemic crisis, the investment in clean energies is preferable to fossil energies, not only in terms of profitability, as other studies have shown, but also in terms of risk. Therefore, investing in clean energy companies, which are aligned with their role towards socially responsible initiatives, is valuable not only for its contribution to a sustainable energy transition to renewable sources but also for the attractiveness from a financial point of view. © 2022 The Author(s) 000130493 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/ 000130493 590__ $$a10.4$$b2022 000130493 591__ $$aBUSINESS, FINANCE$$b1 / 111 = 0.009$$c2022$$dQ1$$eT1 000130493 592__ $$a2.231$$b2022 000130493 593__ $$aFinance$$c2022$$dQ1 000130493 594__ $$a10.8$$b2022 000130493 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion 000130493 700__ $$0(orcid)0000-0003-2448-5228$$aLample, L.$$uUniversidad de Zaragoza 000130493 700__ $$0(orcid)0000-0003-1394-9816$$aMiguel, J.$$uUniversidad de Zaragoza 000130493 700__ $$0(orcid)0000-0002-5788-6661$$aSalvador, M.$$uUniversidad de Zaragoza 000130493 7102_ $$14014$$2623$$aUniversidad de Zaragoza$$bDpto. Economía Aplicada$$cÁrea Métodos Cuant.Econ.Empres 000130493 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab. 000130493 773__ $$g47, 102957 (2022), -$$pFinance res. lett.$$tFinance Research Letters$$x1544-6123 000130493 8564_ $$s1633292$$uhttps://zaguan.unizar.es/record/130493/files/texto_completo.pdf$$yVersión publicada 000130493 8564_ $$s2049651$$uhttps://zaguan.unizar.es/record/130493/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada 000130493 909CO $$ooai:zaguan.unizar.es:130493$$particulos$$pdriver 000130493 951__ $$a2024-03-18-13:53:55 000130493 980__ $$aARTICLE