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Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies

Yıl 2013, Cilt: 3 Sayı: 3, 288 - 296, 01.09.2013

Öz

This paper researches the abnormal information in the WilderHill Clean Energy Index (ECO) and NYSE Arca Technology Index (PSE) by using an autoregressive conditional jump intensity model in Skew Generalized Error Distribution (ARJI-SGED). The research period is from 3 January 2001 to 31 January 2011. We also test the diffusion-jump variance on the PSE and ECO. The empirical result indicates that there are jump phenomena in clean energy and technology companies. The oil price impacts on clean energy and technology companies. Moreover, the PSE has higher levels of volatility clustering than the ECO. These results show that the distributions of PSE return are skewed slightly to the left and fat-tailed. These also mean that jump variance plays a crucial role in market volatility indices

Yıl 2013, Cilt: 3 Sayı: 3, 288 - 296, 01.09.2013

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA93DM58VT
Bölüm Araştırma Makalesi
Yazarlar

Yen-Hsien Lee Bu kişi benim

Ya-Ling Huang Bu kişi benim

Chun-Yu Wu Bu kişi benim

Yayımlanma Tarihi 1 Eylül 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 3 Sayı: 3

Kaynak Göster

APA Lee, Y.-H., Huang, Y.-L., & Wu, C.-Y. (2013). Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. International Journal of Energy Economics and Policy, 3(3), 288-296.
AMA Lee YH, Huang YL, Wu CY. Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. IJEEP. Eylül 2013;3(3):288-296.
Chicago Lee, Yen-Hsien, Ya-Ling Huang, ve Chun-Yu Wu. “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”. International Journal of Energy Economics and Policy 3, sy. 3 (Eylül 2013): 288-96.
EndNote Lee Y-H, Huang Y-L, Wu C-Y (01 Eylül 2013) Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. International Journal of Energy Economics and Policy 3 3 288–296.
IEEE Y.-H. Lee, Y.-L. Huang, ve C.-Y. Wu, “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”, IJEEP, c. 3, sy. 3, ss. 288–296, 2013.
ISNAD Lee, Yen-Hsien vd. “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”. International Journal of Energy Economics and Policy 3/3 (Eylül 2013), 288-296.
JAMA Lee Y-H, Huang Y-L, Wu C-Y. Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. IJEEP. 2013;3:288–296.
MLA Lee, Yen-Hsien vd. “Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies”. International Journal of Energy Economics and Policy, c. 3, sy. 3, 2013, ss. 288-96.
Vancouver Lee Y-H, Huang Y-L, Wu C-Y. Conditional Jump Dynamics in the Stock Prices of Alternative Energy Companies. IJEEP. 2013;3(3):288-96.