Volatility spillovers and conditional correlations between oil, renewables and stock markets: A multivariate GARCH-in-mean analysis
We investigate linkages between three different markets: renewable energy (represented by a range of renewable energy ETFs); traditional energy (represented by crude oil ETF); and common stocks (represented by the S&P 500 Index ETF). We use daily data from 2008 to 2021. The econometric framework...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2025-01-01
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| Series: | Energy Strategy Reviews |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2211467X25000021 |
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