2020
DOI: 10.2139/ssrn.3549547
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A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets

Abstract: The transition from traditional energy to cleaner energy sources has raised concerns from companies and investors regarding, among other things, the impact on financial downside risk. This article implements backtesting techniques to estimate and validate the value-at-risk (VaR) and expected shortfall (ES) in order to compare their performance among four renewable energy stocks and four traditional energy stocks from the WilderHill New Energy Global Innovation and the Bloomberg World Energy for the period 2005… Show more

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