000132300 001__ 132300
000132300 005__ 20240301161208.0
000132300 0247_ $$2doi$$a10.1016/j.ribaf.2024.102263
000132300 0248_ $$2sideral$$a137504
000132300 037__ $$aART-2024-137504
000132300 041__ $$aeng
000132300 100__ $$0(orcid)0000-0003-1205-1756$$aGargallo, Pilar$$uUniversidad de Zaragoza
000132300 245__ $$aSequential management of energy and low-carbon portfolios
000132300 260__ $$c2024
000132300 5060_ $$aAccess copy available to the general public$$fUnrestricted
000132300 5203_ $$aThis study explores the ability of clean energy and European Union Allowance (EUA) assets to diminish portfolio risk when mixed with unclean energy assets. We use a family of Asymmetric Dynamic Conditional Correlation-Generalized AutoRegressive Conditional Heteroskedastic (ADCC-GARCH) models and provide a flexible and adaptive estimation and model selection framework based on a sequential strategy with differently sized estimation and validation windows, as well as different model update frequencies. Through this procedure, we obtain accurate estimations of the conditional covariance matrices of day-to-day asset returns and build adequate optimal minimum variance portfolios. The analyzed period (Jan. 2010–May. 2022) includes the latest crisis episodes (Sovereign debt crisis, Brexit, COVID-19, and the Russian–Ukrainian war). Our findings show that since the 2015 Paris Agreement (the only exception being the pandemic period), investing in clean energy companies and EUAs is an attractive investment in terms of return-risk. These results should provide investors with more incentives to decarbonize their portfolios.
000132300 540__ $$9info:eu-repo/semantics/openAccess$$aby-nc-nd$$uhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
000132300 655_4 $$ainfo:eu-repo/semantics/article$$vinfo:eu-repo/semantics/publishedVersion
000132300 700__ $$0(orcid)0000-0003-2448-5228$$aLample, Luis$$uUniversidad de Zaragoza
000132300 700__ $$0(orcid)0000-0003-1394-9816$$aMiguel, Jesús A.$$uUniversidad de Zaragoza
000132300 700__ $$0(orcid)0000-0002-5788-6661$$aSalvador, Manuel$$uUniversidad de Zaragoza
000132300 7102_ $$14014$$2623$$aUniversidad de Zaragoza$$bDpto. Economía Aplicada$$cÁrea Métodos Cuant.Econ.Empres
000132300 7102_ $$14002$$2230$$aUniversidad de Zaragoza$$bDpto. Contabilidad y Finanzas$$cÁrea Economía Finan. y Contab.
000132300 773__ $$g69 (2024), 102263 [24 pp.]$$tRESEARCH IN INTERNATIONAL BUSINESS AND FINANCE$$x0275-5319
000132300 8564_ $$s10943622$$uhttps://zaguan.unizar.es/record/132300/files/texto_completo.pdf$$yVersión publicada
000132300 8564_ $$s2022455$$uhttps://zaguan.unizar.es/record/132300/files/texto_completo.jpg?subformat=icon$$xicon$$yVersión publicada
000132300 909CO $$ooai:zaguan.unizar.es:132300$$particulos$$pdriver
000132300 951__ $$a2024-03-01-14:54:15
000132300 980__ $$aARTICLE