Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector

Marcelo Bianconi and Joe Yoshino

Energy Economics, 2014, vol. 45, issue C, 19-32

Abstract: We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012.

Keywords: Return on stocks; Price of risk; Value at risk; Oil and gas industry; Dynamic conditional correlation (search for similar items in EconPapers)
JEL-codes: C3 G12 L72 Q3 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: Risk Factors and Value at Risk in Publicly Trades Companies of the Nonrenewable Energy Sector (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:45:y:2014:i:c:p:19-32

DOI: 10.1016/j.eneco.2014.06.018

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