132300 20260217205508.0 doi 10.1016/j.ribaf.2024.102263 sideral 137504 ART-2024-137504 eng Gargallo, Pilar Universidad de Zaragoza (orcid)0000-0003-1205-1756 Sequential management of energy and low-carbon portfolios 2024 Access copy available to the general public Unrestricted This 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. info:eu-repo/semantics/openAccess by-nc-nd https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es 6.9 2024 BUSINESS, FINANCE 12 / 242 = 0.05 2024 Q1 T1 1.415 2024 Finance 2024 Q1 Business, Management and Accounting (miscellaneous) 2024 Q1 11.1 2024 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Lample, Luis Universidad de Zaragoza (orcid)0000-0003-2448-5228 Miguel, Jesús A. Universidad de Zaragoza (orcid)0000-0003-1394-9816 Salvador, Manuel Universidad de Zaragoza (orcid)0000-0002-5788-6661 4014 623 Universidad de Zaragoza Dpto. Economía Aplicada Área Métodos Cuant.Econ.Empres 4002 230 Universidad de Zaragoza Dpto. Contabilidad y Finanzas Área Economía Finan. y Contab. 69 (2024), 102263 [24 pp.] RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE 0275-5319 10943622 http://zaguan.unizar.es/record/132300/files/texto_completo.pdf Versión publicada 2022455 http://zaguan.unizar.es/record/132300/files/texto_completo.jpg?subformat=icon icon Versión publicada oai:zaguan.unizar.es:132300 articulos driver 2026-02-17-20:24:00 ARTICLE