Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era
Abstract
:1. Introduction
2. Related Studies
3. Data
4. Empirical Approach
4.1. Volatility Dynamic Connectedness
4.2. Dynamic Conditional Correlations
5. Empirical Results
5.1. Volatility Connectedness Analysis
5.2. Correlation and Portfolio Management
5.2.1. Hedging
5.2.2. Optimal Portfolio Weight
6. Conclusions
Author Contributions
Funding
Conflicts of Interest
References
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Company | Abbr. | Total Asset (2019) |
---|---|---|
Panel A: Wind | ||
Siemens Gamesa Renewable Energy, S.A. | SGRE | 18.17 |
Vestas Wind Systems A/S | VWS | 16.10 |
Xinjiang Goldwind Science & Technology Co. Ltd. | XGST | 11.87 |
China High Speed Transmission Equipment Group Co Ltd. | CHSPTE | 3.90 |
Nordex Se | NRDX | 3.50 |
Concord New Energy Group Limited | CNE | 2.69 |
Suzlon Energy Limited | SE | 1.28 |
Infigen Energy | IE | 0.88 |
Panel B: Solar | ||
Applied Materials Inc. | AM | 19.02 |
First Solar, Inc. | FS | 7.52 |
Jinkosolar Holding Co., Ltd. | JH | 5.23 |
Canadian Solar Inc. | CS | 4.89 |
Oc Oerlikon Corporation Ag | OERL | 4.62 |
Sunpower Corporation | SPC | 2.17 |
United Renewable Energy Co., Ltd. | URE | 1.90 |
Ats Automation Tooling Systems Inc. | ATS | 1.26 |
Panel C: Clean Tech | ||
Central Japan Railway Company | CJR | 83.81 |
East Japan Railway Company | EJR | 75.36 |
MTR Corporation Limited | MTR | 35.06 |
Tesla, Inc. | TSLA | 34.31 |
Digital Realty Trust, Inc. | DLR | 23.76 |
Samsung SDI Co., Ltd. | SDI | 17.30 |
Alstom S.A. | ALS | 15.06 |
Vmware, Inc. | VMW | 14.66 |
Mean | Median | Max | Min | Std.Dev | Skewness | Kurtosis | ADF | JB | |
---|---|---|---|---|---|---|---|---|---|
SGRE | 1.94 | 1.37 | 19.42 | 0.00 | 1.99 | 2.66 | 15.52 | −11.09 *** | 18156 *** |
VWS | 1.98 | 1.30 | 27.82 | 0.00 | 2.23 | 3.31 | 23.22 | −10.03 *** | 44402 *** |
XGST | 2.26 | 1.62 | 24.72 | 0.00 | 2.31 | 2.28 | 12.21 | −9.557 *** | 10355 *** |
CHSPTE | 2.10 | 1.44 | 21.48 | 0.00 | 2.28 | 2.49 | 12.69 | −9.714 *** | 11647 *** |
NRDX | 2.19 | 1.56 | 28.75 | 0.00 | 2.36 | 2.98 | 19.03 | −10.85 *** | 28688 *** |
CNE | 1.97 | 1.46 | 22.56 | 0.00 | 2.19 | 2.41 | 13.65 | −9.069 *** | 13400 *** |
SE | 2.55 | 1.79 | 41.58 | 0.00 | 2.95 | 3.52 | 28.23 | −10.45 *** | 67303 *** |
IE | 2.17 | 1.78 | 31.07 | 0.00 | 2.33 | 2.48 | 17.39 | −10.55 *** | 22730 *** |
AM | 1.51 | 1.08 | 22.76 | 0.00 | 1.59 | 3.32 | 25.85 | −7.655 *** | 55552 *** |
FS | 2.30 | 1.58 | 37.52 | 0.00 | 2.56 | 3.73 | 31.51 | −10.11 *** | 85232 *** |
JH | 3.35 | 2.46 | 34.26 | 0.00 | 3.20 | 2.40 | 14.11 | −9.121 *** | 14368 *** |
CS | 2.87 | 2.00 | 28.88 | 0.00 | 3.00 | 2.53 | 12.79 | −9.717 *** | 11905 *** |
OERL | 1.35 | 0.95 | 11.78 | 0.00 | 1.40 | 2.42 | 12.31 | −8.702 *** | 10812 *** |
SPC | 2.88 | 2.10 | 39.18 | 0.00 | 3.05 | 3.37 | 25.30 | −10.38 *** | 53240 *** |
URE | 1.88 | 1.25 | 17.25 | 0.00 | 1.97 | 1.82 | 7.55 | −10.14 *** | 3327 *** |
ATS | 1.30 | 0.89 | 12.44 | 0.00 | 1.39 | 2.70 | 14.45 | −9.429 *** | 15713 *** |
CJR | 1.09 | 0.76 | 18.74 | 0.00 | 1.23 | 3.72 | 33.16 | −8.163 *** | 94674 *** |
EJR | 1.04 | 0.77 | 20.27 | 0.00 | 1.14 | 4.68 | 55.60 | −9.038 *** | 280133 *** |
MTR | 0.81 | 0.59 | 10.35 | 0.00 | 0.83 | 3.04 | 23.41 | −8.961 *** | 44510 *** |
TSLA | 2.28 | 1.62 | 21.83 | 0.00 | 2.51 | 2.93 | 15.93 | −8.896 *** | 19792 *** |
DLR | 1.12 | 0.80 | 16.57 | 0.00 | 1.21 | 3.72 | 28.87 | −8.154 *** | 71087 *** |
SDI | 1.68 | 1.19 | 19.09 | 0.00 | 1.79 | 2.60 | 15.54 | −9.211 *** | 18095 *** |
ALS | 1.51 | 1.03 | 14.23 | 0.00 | 1.70 | 2.55 | 12.57 | −7.854 *** | 11539 *** |
VMW | 1.53 | 1.08 | 24.26 | 0.00 | 1.73 | 4.10 | 34.79 | −8.788 *** | 105754 *** |
WTI | 1.69 | 1.10 | 39.47 | 0.00 | 2.36 | 6.71 | 75.41 | −7.356 *** | 532221 *** |
SGRE | VWS | XGST | CHSPTE | NRDX | CNE | SE | IE | AM | FS | JH | CS | OERL | SPC | URE | ATS | CJR | EJR | MTR | TSLA | DLR | SDI | ALS | VMW | WTI | FROM | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SGRE | 71.77 | 8.26 | 0.2 | 0.4 | 3.39 | 0.57 | 0.04 | 0.17 | 1.31 | 0.78 | 1.07 | 1.32 | 2.71 | 0.77 | 0.54 | 0.84 | 0.32 | 0.42 | 0.23 | 0.44 | 0.8 | 0.25 | 2.7 | 0.69 | 0.02 | 28.23 |
VWS | 8.2 | 75.25 | 0.13 | 0.53 | 2.66 | 0.56 | 0.14 | 0.66 | 0.21 | 0.93 | 1.04 | 1.57 | 1.41 | 0.37 | 0.75 | 1.21 | 0.24 | 0.37 | 0.04 | 0.53 | 0.35 | 0.22 | 2.19 | 0.37 | 0.08 | 24.75 |
XGST | 0.12 | 0.15 | 75.64 | 9.7 | 0.58 | 3.87 | 0.04 | 0.4 | 0.5 | 0.22 | 1.21 | 1.39 | 0.36 | 0.09 | 0.77 | 0.26 | 0.52 | 0.72 | 1.09 | 0.14 | 1 | 0.22 | 0.44 | 0.34 | 0.22 | 24.36 |
CHSPTE | 0.11 | 0.2 | 9.76 | 77.82 | 0.21 | 4.13 | 0.06 | 0.05 | 0.61 | 0.33 | 0.66 | 0.89 | 0.21 | 0.27 | 1.02 | 0.05 | 0.23 | 0.09 | 1.33 | 0.22 | 0.32 | 0.13 | 1.05 | 0.22 | 0.02 | 22.18 |
NRDX | 3.55 | 3.5 | 0.69 | 0.35 | 75.77 | 0.59 | 0.21 | 0.34 | 1.89 | 0.42 | 0.89 | 1.29 | 1.93 | 0.5 | 0.32 | 0.58 | 0.97 | 1.61 | 0.53 | 0.84 | 1.28 | 0.2 | 1.24 | 0.48 | 0.06 | 24.23 |
CNE | 0.32 | 0.26 | 4.26 | 4.99 | 0.41 | 82.98 | 0.2 | 0.4 | 0.03 | 0.23 | 0.42 | 1.37 | 0.18 | 0.13 | 0.35 | 0.33 | 0.16 | 0.15 | 1.46 | 0.01 | 0.19 | 0.15 | 0.94 | 0.04 | 0.05 | 17.02 |
SE | 0.06 | 0.25 | 0.04 | 0.14 | 0.26 | 0.23 | 96.79 | 0.03 | 0.25 | 0.1 | 0.11 | 0.2 | 0.39 | 0 | 0.03 | 0.26 | 0.09 | 0.03 | 0.2 | 0.12 | 0.11 | 0.03 | 0.24 | 0 | 0.03 | 3.21 |
IE | 0.6 | 0.78 | 0.21 | 0.24 | 0.62 | 0.38 | 0.02 | 87.43 | 0.6 | 0.17 | 0.37 | 0.26 | 1.42 | 0.1 | 0.39 | 0.69 | 0.46 | 0.46 | 0.53 | 0.32 | 0.5 | 0.66 | 1.3 | 0.49 | 1.01 | 12.57 |
AM | 1.3 | 0.41 | 0.25 | 0.28 | 1.7 | 0.02 | 0.12 | 0.24 | 61.76 | 1.22 | 2.01 | 2.12 | 2.35 | 2.7 | 0.3 | 2.91 | 0.43 | 0.41 | 1.34 | 2.65 | 4.73 | 0.49 | 2.46 | 4.86 | 2.94 | 38.24 |
FS | 0.86 | 1.71 | 0.21 | 0.09 | 0.13 | 0.24 | 0.02 | 0.07 | 1.25 | 65.5 | 5.64 | 6.32 | 0.76 | 9.93 | 0.68 | 0.48 | 0.17 | 0.25 | 0.07 | 0.62 | 1.13 | 0.07 | 2.22 | 1.2 | 0.38 | 34.5 |
JH | 0.96 | 1.28 | 0.94 | 0.39 | 0.79 | 0.74 | 0.15 | 0.33 | 2.36 | 4.86 | 59.41 | 14.88 | 0.66 | 5.55 | 0.81 | 0.78 | 0.22 | 0.5 | 0.5 | 0.84 | 0.69 | 0.1 | 1.62 | 0.56 | 0.07 | 40.59 |
CS | 0.73 | 1.23 | 1.05 | 0.35 | 0.87 | 1.56 | 0.09 | 0.25 | 2.15 | 5.49 | 13.8 | 55.71 | 1.52 | 6.83 | 1.03 | 1.03 | 0.47 | 0.66 | 0.48 | 0.74 | 0.77 | 0.16 | 2.07 | 0.84 | 0.13 | 44.29 |
OERL | 2.43 | 1.8 | 0.26 | 0.31 | 1.95 | 0.35 | 0.28 | 1.21 | 2.83 | 1.18 | 1.19 | 1.74 | 67.98 | 1.77 | 0.38 | 1.04 | 0.87 | 0.99 | 1.37 | 0.64 | 1.2 | 0.8 | 4.66 | 1.75 | 1 | 32.02 |
SPC | 0.77 | 0.69 | 0.05 | 0.07 | 0.28 | 0.09 | 0.01 | 0.05 | 2.86 | 9.95 | 6.19 | 7.54 | 1.52 | 62.86 | 0.24 | 0.81 | 0.1 | 0.32 | 0.49 | 1.02 | 1.19 | 0.1 | 1.31 | 0.67 | 0.84 | 37.14 |
URE | 0.66 | 0.76 | 1.15 | 0.71 | 0.93 | 0.84 | 0.02 | 0.31 | 0.91 | 0.79 | 1.26 | 1.36 | 0.83 | 0.37 | 81.79 | 1.15 | 0.47 | 0.35 | 0.41 | 0.43 | 0.82 | 0.96 | 1.95 | 0.68 | 0.06 | 18.21 |
ATS | 1.29 | 1.77 | 0.23 | 0.03 | 0.76 | 0.31 | 0.22 | 0.16 | 3.08 | 0.54 | 0.56 | 1.4 | 1.21 | 0.53 | 0.67 | 78.95 | 0.53 | 0.42 | 0.37 | 0.57 | 1.65 | 0.16 | 2.51 | 1.02 | 1.02 | 21.05 |
CJR | 0.81 | 0.5 | 0.65 | 0.29 | 1.23 | 0.39 | 0.1 | 0.38 | 0.98 | 0.17 | 0.65 | 1.02 | 1.03 | 0.76 | 0.4 | 0.57 | 59.46 | 26.29 | 0.86 | 0.46 | 1.66 | 0.06 | 0.48 | 0.4 | 0.42 | 40.54 |
EJR | 0.57 | 0.24 | 0.29 | 0.17 | 0.73 | 0.27 | 0.17 | 0.37 | 1.01 | 0.1 | 0.56 | 0.95 | 0.69 | 0.77 | 0.36 | 0.88 | 25.73 | 63.51 | 0.31 | 0.19 | 0.99 | 0.05 | 0.52 | 0.23 | 0.31 | 36.49 |
MTR | 0.17 | 0.09 | 1.21 | 1.37 | 0.39 | 1.7 | 0.22 | 0.42 | 1.85 | 0.14 | 0.65 | 0.81 | 1.3 | 0.5 | 0.44 | 0.86 | 0.93 | 0.47 | 80.47 | 0.48 | 1.31 | 0.69 | 0.92 | 0.69 | 1.92 | 19.53 |
TSLA | 0.45 | 0.69 | 0.06 | 0.04 | 0.94 | 0.01 | 0.08 | 0.16 | 4.46 | 0.88 | 1.37 | 1.2 | 0.78 | 1.41 | 0.4 | 0.34 | 0.31 | 0.52 | 0.39 | 79.97 | 1.65 | 0.16 | 1.4 | 1.44 | 0.89 | 20.03 |
DLR | 0.9 | 0.87 | 0.38 | 0.16 | 1.45 | 0.16 | 0.06 | 0.58 | 5.71 | 0.6 | 0.8 | 0.89 | 2.07 | 1.27 | 0.82 | 2.57 | 0.93 | 0.47 | 0.93 | 1.65 | 68.29 | 1.01 | 1.98 | 3.49 | 1.97 | 31.71 |
SDI | 0.76 | 0.16 | 0.36 | 0.15 | 0.3 | 0.18 | 0.04 | 0.46 | 2.15 | 0.14 | 0.37 | 0.12 | 1.47 | 0.1 | 0.75 | 0.58 | 0.2 | 0.09 | 0.51 | 0.56 | 2.36 | 85.27 | 1.87 | 0.5 | 0.54 | 14.73 |
ALS | 2.31 | 1.82 | 0.33 | 0.67 | 1.15 | 1.07 | 0.16 | 0.58 | 2.9 | 2.4 | 1.71 | 2.58 | 4.45 | 1.27 | 0.94 | 2.53 | 0.32 | 0.37 | 0.33 | 1.36 | 1.74 | 0.85 | 65.22 | 1.95 | 1.03 | 34.78 |
VMW | 1.01 | 0.76 | 0.04 | 0.16 | 0.64 | 0.04 | 0.01 | 0.21 | 6.35 | 1.67 | 0.7 | 1.26 | 2.1 | 0.95 | 0.49 | 0.66 | 0.17 | 0.23 | 0.17 | 1.41 | 3.37 | 0.21 | 2.32 | 74.21 | 0.86 | 25.79 |
WTI | 0.14 | 0.06 | 0.14 | 0.03 | 0.22 | 0.01 | 0.08 | 0.69 | 5.06 | 1.06 | 0.24 | 0.46 | 1.89 | 1.24 | 0.05 | 1.33 | 0.74 | 1.13 | 0.51 | 2.02 | 2.53 | 0.83 | 1.15 | 0.83 | 77.55 | 22.45 |
TO | 29.09 | 28.24 | 22.87 | 21.6 | 22.59 | 18.32 | 2.56 | 8.5 | 51.3 | 34.37 | 43.48 | 52.9 | 33.23 | 38.18 | 12.93 | 22.76 | 35.6 | 37.32 | 14.46 | 18.26 | 32.34 | 8.57 | 39.53 | 23.73 | 15.87 | |
ALL | 100.87 | 103.5 | 98.51 | 99.42 | 98.35 | 101.3 | 99.35 | 95.93 | 113.07 | 99.87 | 102.89 | 108.61 | 101.2 | 101.05 | 94.73 | 101.71 | 95.06 | 100.83 | 94.93 | 98.24 | 100.63 | 93.83 | 104.75 | 97.94 | 93.42 | TCI |
NET | 0.87 | 3.5 | −1.49 | −0.58 | −1.65 | 1.3 | −0.65 | −4.07 | 13.07 | −0.13 | 2.89 | 8.61 | 1.2 | 1.05 | −5.27 | 1.71 | −4.94 | 0.83 | −5.07 | −1.76 | 0.63 | −6.17 | 4.75 | −2.06 | −6.58 | 26.74 |
SGRE | VWS | XGST | CHSPTE | NRDX | CNE | SE | IE | AM | FS | JH | CS | OERL | SPC | URE | ATS | CJR | EJR | MTR | TSLA | DLR | SDI | ALS | VMW | WTI | FROM | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SGRE | 76.21 | 8.26 | 0.15 | 0.46 | 2.58 | 0.64 | 0.04 | 0.27 | 0.58 | 0.86 | 0.79 | 1 | 2.13 | 0.39 | 0.42 | 0.66 | 0.28 | 0.42 | 0.04 | 0.1 | 0.31 | 0.18 | 2.44 | 0.62 | 0.18 | 23.79 |
VWS | 8.01 | 77.69 | 0.07 | 0.58 | 2.02 | 0.56 | 0.15 | 0.66 | 0.08 | 0.92 | 1.03 | 1.56 | 1.05 | 0.26 | 0.67 | 1.11 | 0.2 | 0.45 | 0.09 | 0.29 | 0.16 | 0.12 | 1.9 | 0.33 | 0.04 | 22.31 |
XGST | 0.08 | 0.08 | 75.44 | 9.82 | 0.51 | 3.92 | 0.07 | 0.24 | 0.49 | 0.27 | 1.26 | 1.43 | 0.39 | 0.15 | 0.71 | 0.21 | 0.7 | 0.93 | 0.79 | 0.07 | 1.22 | 0.25 | 0.31 | 0.28 | 0.39 | 24.56 |
CHSPTE | 0.07 | 0.2 | 9.69 | 75.67 | 0.28 | 3.96 | 0.17 | 0.05 | 1.12 | 0.41 | 0.75 | 0.91 | 0.38 | 0.42 | 1.02 | 0.05 | 0.41 | 0.14 | 1.32 | 0.24 | 0.65 | 0.24 | 1.33 | 0.28 | 0.21 | 24.33 |
NRDX | 2.74 | 2.88 | 0.69 | 0.49 | 83.83 | 0.67 | 0.15 | 0.12 | 0.6 | 0.34 | 0.44 | 1.02 | 0.97 | 0.18 | 0.17 | 0.3 | 0.7 | 1.77 | 0.15 | 0.29 | 0.37 | 0.12 | 0.72 | 0.21 | 0.09 | 16.17 |
CNE | 0.33 | 0.23 | 4.25 | 4.81 | 0.39 | 81.73 | 0.36 | 0.5 | 0.01 | 0.31 | 0.62 | 1.55 | 0.24 | 0.17 | 0.37 | 0.34 | 0.21 | 0.18 | 1.54 | 0.01 | 0.41 | 0.23 | 1.07 | 0.08 | 0.07 | 18.27 |
SE | 0.06 | 0.27 | 0.04 | 0.27 | 0.17 | 0.36 | 96.97 | 0.01 | 0.09 | 0.13 | 0.06 | 0.21 | 0.27 | 0.02 | 0.05 | 0.2 | 0.07 | 0.02 | 0.25 | 0.05 | 0.04 | 0.03 | 0.17 | 0.01 | 0.2 | 3.03 |
IE | 0.57 | 0.69 | 0.21 | 0.22 | 0.33 | 0.41 | 0.02 | 91.47 | 0.08 | 0.14 | 0.12 | 0.16 | 1.06 | 0.01 | 0.22 | 0.3 | 0.31 | 0.3 | 0.28 | 0.04 | 0.18 | 0.41 | 1.12 | 0.25 | 1.11 | 8.53 |
AM | 0.68 | 0.16 | 0.47 | 0.9 | 0.73 | 0 | 0.05 | 0.03 | 79.23 | 0.91 | 1.06 | 1.25 | 1.13 | 1.6 | 0.03 | 0.74 | 0.06 | 0.04 | 1.33 | 1.21 | 0.9 | 0.34 | 1.87 | 3.67 | 1.63 | 20.77 |
FS | 1.01 | 1.84 | 0.27 | 0.14 | 0.11 | 0.3 | 0.04 | 0.04 | 0.74 | 67.6 | 5.53 | 5.98 | 0.65 | 10.3 | 0.73 | 0.32 | 0.06 | 0.11 | 0.02 | 0.31 | 0.76 | 0.06 | 1.96 | 0.9 | 0.21 | 32.4 |
JH | 0.77 | 1.31 | 1.11 | 0.55 | 0.48 | 1 | 0.09 | 0.19 | 0.94 | 4.85 | 63.91 | 14.61 | 0.45 | 5.13 | 0.73 | 0.32 | 0.2 | 0.5 | 0.39 | 0.28 | 0.21 | 0.09 | 1.43 | 0.25 | 0.21 | 36.09 |
CS | 0.57 | 1.23 | 1.2 | 0.45 | 0.69 | 1.83 | 0.09 | 0.26 | 0.98 | 5.31 | 13.54 | 59.45 | 1.26 | 6.59 | 0.89 | 0.6 | 0.42 | 0.55 | 0.47 | 0.45 | 0.34 | 0.18 | 1.97 | 0.49 | 0.2 | 40.55 |
OERL | 1.97 | 1.43 | 0.33 | 0.6 | 1 | 0.48 | 0.21 | 1.14 | 1.2 | 0.95 | 1.01 | 1.46 | 76.02 | 0.9 | 0.21 | 0.65 | 0.58 | 1.04 | 0.88 | 0.17 | 0.39 | 0.53 | 4.23 | 1.03 | 1.61 | 23.98 |
SPC | 0.59 | 0.75 | 0.11 | 0.15 | 0.08 | 0.15 | 0.02 | 0.01 | 1.33 | 10.6 | 5.71 | 7.29 | 0.76 | 67.84 | 0.2 | 0.43 | 0.02 | 0.24 | 0.45 | 0.51 | 0.52 | 0.02 | 1.03 | 0.35 | 0.85 | 32.16 |
URE | 0.38 | 0.52 | 1.06 | 0.75 | 0.54 | 0.87 | 0.04 | 0.27 | 0.27 | 0.82 | 1.34 | 1.25 | 0.56 | 0.26 | 86.12 | 0.77 | 0.31 | 0.29 | 0.29 | 0.18 | 0.38 | 0.92 | 1.4 | 0.31 | 0.09 | 13.88 |
ATS | 0.94 | 1.53 | 0.24 | 0.04 | 0.48 | 0.37 | 0.18 | 0.08 | 0.86 | 0.41 | 0.3 | 1.03 | 0.68 | 0.35 | 0.48 | 86.91 | 0.29 | 0.22 | 0.2 | 0.29 | 0.42 | 0.07 | 2.3 | 0.36 | 0.96 | 13.09 |
CJR | 0.64 | 0.33 | 0.77 | 0.5 | 0.94 | 0.44 | 0.07 | 0.31 | 0.21 | 0.13 | 0.65 | 0.98 | 0.49 | 0.47 | 0.21 | 0.27 | 62.4 | 27.06 | 0.76 | 0.24 | 0.88 | 0.06 | 0.22 | 0.09 | 0.91 | 37.6 |
EJR | 0.5 | 0.2 | 0.39 | 0.25 | 0.72 | 0.3 | 0.18 | 0.35 | 0.24 | 0.05 | 0.55 | 0.77 | 0.34 | 0.46 | 0.17 | 0.49 | 26.01 | 65.55 | 0.16 | 0.09 | 0.59 | 0.06 | 0.44 | 0.04 | 1.1 | 34.45 |
MTR | 0.09 | 0.04 | 0.98 | 1.6 | 0.25 | 2.07 | 0.24 | 0.35 | 1.44 | 0.09 | 0.47 | 0.84 | 1.3 | 0.57 | 0.41 | 0.55 | 1.3 | 0.54 | 83.61 | 0.22 | 0.44 | 0.48 | 0.64 | 0.33 | 1.14 | 16.39 |
TSLA | 0.12 | 0.51 | 0.04 | 0.11 | 0.29 | 0.01 | 0.07 | 0.04 | 1.43 | 0.48 | 0.68 | 0.8 | 0.24 | 0.67 | 0.27 | 0.05 | 0.11 | 0.24 | 0.23 | 91 | 0.6 | 0.07 | 0.83 | 0.74 | 0.36 | 9 |
DLR | 0.39 | 0.36 | 0.55 | 0.46 | 0.55 | 0.37 | 0.02 | 0.16 | 1.26 | 0.42 | 0.44 | 0.58 | 1.01 | 0.6 | 0.43 | 0.64 | 0.42 | 0.23 | 0.32 | 0.63 | 85.49 | 0.34 | 1.16 | 2.05 | 1.09 | 14.51 |
SDI | 0.32 | 0.13 | 0.41 | 0.28 | 0.15 | 0.23 | 0.02 | 0.32 | 1.07 | 0.06 | 0.22 | 0.05 | 0.85 | 0 | 0.67 | 0.3 | 0.06 | 0 | 0.31 | 0.03 | 0.74 | 92.15 | 0.88 | 0.32 | 0.45 | 7.85 |
ALS | 2.06 | 1.49 | 0.27 | 0.96 | 0.57 | 1.23 | 0.13 | 0.45 | 1.53 | 2.22 | 1.46 | 2.49 | 4.01 | 0.93 | 0.89 | 2.31 | 0.18 | 0.32 | 0.13 | 0.74 | 0.94 | 0.55 | 71.18 | 1.72 | 1.22 | 28.82 |
VMW | 0.84 | 0.62 | 0.06 | 0.28 | 0.26 | 0.05 | 0.01 | 0.09 | 4.08 | 1.33 | 0.35 | 0.87 | 1.29 | 0.56 | 0.27 | 0.19 | 0.04 | 0.07 | 0.06 | 0.72 | 1.81 | 0.15 | 2.02 | 83.08 | 0.89 | 16.92 |
WTI | 0.21 | 0.01 | 0.47 | 0.24 | 0.06 | 0.18 | 0.12 | 0.89 | 1.61 | 0.26 | 0.25 | 0.29 | 1.83 | 1.08 | 0.14 | 0.7 | 0.9 | 1.12 | 0.6 | 0.13 | 0.93 | 0.18 | 1.45 | 0.78 | 85.58 | 14.42 |
TO | 23.94 | 25.06 | 23.84 | 24.94 | 14.19 | 20.42 | 2.51 | 6.81 | 22.23 | 32.28 | 38.63 | 48.38 | 23.34 | 32.09 | 10.33 | 12.51 | 33.81 | 36.75 | 11.07 | 7.29 | 14.19 | 5.69 | 32.9 | 15.49 | 15.21 | |
ALL | 100.14 | 102.76 | 99.27 | 100.61 | 98.02 | 102.15 | 99.47 | 98.28 | 101.46 | 99.88 | 102.53 | 107.83 | 99.36 | 99.92 | 96.45 | 99.42 | 96.21 | 102.3 | 94.68 | 98.29 | 99.68 | 97.84 | 104.08 | 98.57 | 100.79 | TCI |
NET | 0.14 | 2.76 | −0.73 | 0.61 | −1.98 | 2.15 | −0.53 | −1.72 | 1.46 | −0.12 | 2.53 | 7.83 | −0.64 | −0.08 | −3.55 | −0.58 | −3.79 | 2.3 | −5.32 | −1.71 | −0.32 | −2.16 | 4.08 | −1.43 | 0.79 | 21.36 |
SGRE | VWS | XGST | CHSPTE | NRDX | CNE | SE | IE | AM | FS | JH | CS | OERL | SPC | URE | ATS | CJR | EJR | MTR | TSLA | DLR | SDI | ALS | VMW | WTI | FROM | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SGRE | 34.5 | 8.78 | 2.22 | 0.43 | 6.86 | 0.46 | 0.25 | 0.15 | 6.94 | 2.54 | 2.9 | 5.22 | 3.36 | 3.65 | 1.02 | 2.22 | 0.68 | 0.88 | 3.25 | 3.37 | 4.21 | 0.79 | 3.11 | 1.02 | 1.19 | 65.5 |
VWS | 6.48 | 26.5 | 6.14 | 0.36 | 9.28 | 0.84 | 2.32 | 1.26 | 3.74 | 1.64 | 3.09 | 1.62 | 4.38 | 1.76 | 1.17 | 2.43 | 0.5 | 0.37 | 4.95 | 4.5 | 2.76 | 3.39 | 6.77 | 0.79 | 2.97 | 73.5 |
XGST | 1.32 | 5.62 | 37.87 | 0.75 | 4.97 | 0.5 | 0.82 | 5.12 | 4.16 | 0.89 | 1.79 | 1.42 | 0.97 | 0.32 | 2.23 | 2.47 | 0.94 | 1.54 | 10.05 | 4.03 | 2.02 | 0.6 | 5.02 | 1.95 | 2.65 | 62.13 |
CHSPTE | 4.17 | 0.31 | 0.36 | 52.55 | 1.42 | 0.28 | 4.8 | 0.46 | 1.66 | 2.37 | 1.61 | 2.55 | 1.22 | 2.63 | 2.95 | 1.57 | 2.38 | 0.58 | 5.34 | 2.99 | 1.8 | 1.82 | 0.8 | 1.3 | 2.09 | 47.45 |
NRDX | 6.09 | 10.46 | 5.1 | 0.53 | 25.68 | 0.95 | 1.89 | 2.08 | 4.22 | 1.71 | 3.55 | 1.85 | 6.02 | 1.78 | 1.87 | 2.07 | 0.83 | 0.8 | 4.27 | 4.87 | 4.38 | 1.77 | 5.5 | 1.22 | 0.52 | 74.32 |
CNE | 0.96 | 1.92 | 1.11 | 0.99 | 2.36 | 70.03 | 0.57 | 0.26 | 0.41 | 3.81 | 2.34 | 0.84 | 0.27 | 0.61 | 0.3 | 2.57 | 0.18 | 0.24 | 6.88 | 1.27 | 0.68 | 0.64 | 0.25 | 0.19 | 0.31 | 29.97 |
SE | 0.71 | 4.62 | 1.28 | 3.32 | 3.56 | 1.85 | 63.07 | 1.37 | 1.41 | 1.02 | 0.32 | 0.66 | 2.78 | 1.1 | 0.25 | 1.18 | 1.67 | 0.97 | 2.14 | 0.07 | 0.33 | 0.26 | 2.62 | 0.57 | 2.88 | 36.93 |
IE | 1.07 | 2.62 | 2.77 | 2.13 | 4.57 | 1.76 | 0.25 | 53.45 | 1.85 | 3.21 | 5.56 | 2.3 | 2.07 | 1.43 | 1.9 | 1.61 | 0.14 | 0.51 | 2.93 | 1.47 | 0.93 | 0.46 | 3.18 | 1.36 | 0.5 | 46.55 |
AM | 3.7 | 4.31 | 2.84 | 0.29 | 2.66 | 0.2 | 0.49 | 0.39 | 23.79 | 4.24 | 4.75 | 9.98 | 2.5 | 4.77 | 3.29 | 8.74 | 0.22 | 0.45 | 1.88 | 2.66 | 6.57 | 1.15 | 3.65 | 5.87 | 0.61 | 76.21 |
FS | 1 | 0.37 | 0.67 | 1.36 | 0.41 | 2.06 | 0.34 | 2.34 | 5.63 | 38.24 | 6.16 | 10.57 | 1.45 | 6.18 | 0.6 | 1.57 | 1.51 | 1.85 | 1.5 | 1.75 | 3.74 | 0.32 | 2.81 | 5.78 | 1.77 | 61.76 |
JH | 2.2 | 3.27 | 1.84 | 0.16 | 3.78 | 1.05 | 0.35 | 2.6 | 8.15 | 4.17 | 26.59 | 15.24 | 2.02 | 6.68 | 0.75 | 4.94 | 0.47 | 0.47 | 0.65 | 4.42 | 3.5 | 0.75 | 2.67 | 2.79 | 0.49 | 73.41 |
CS | 2.4 | 1.99 | 1.35 | 0.17 | 1.45 | 0.41 | 0.33 | 0.99 | 12.92 | 7.4 | 13.23 | 24.04 | 2.55 | 7.48 | 1.27 | 5.68 | 0.45 | 0.68 | 0.84 | 2.19 | 4.47 | 0.36 | 2.3 | 4.65 | 0.41 | 75.96 |
OERL | 3.67 | 7.05 | 2.09 | 0.7 | 7.19 | 0.54 | 2.52 | 1.73 | 5.14 | 2.62 | 2.23 | 3.89 | 34.74 | 5.8 | 0.64 | 1.41 | 0.74 | 0.64 | 3.65 | 1.49 | 1.84 | 1.65 | 4.95 | 2.44 | 0.65 | 65.26 |
SPC | 2.78 | 1.62 | 0.55 | 1.77 | 1.82 | 0.46 | 0.37 | 1.16 | 8.19 | 6.21 | 8.21 | 11.07 | 6.16 | 33.64 | 0.45 | 2.31 | 0.92 | 1.74 | 1.89 | 2.23 | 1.77 | 0.39 | 2.2 | 2.03 | 0.06 | 66.36 |
URE | 5.4 | 7.25 | 5.22 | 1.47 | 3.99 | 0.78 | 0.52 | 0.52 | 6.54 | 1.54 | 0.72 | 1.91 | 0.62 | 1.77 | 32.09 | 2.21 | 0.2 | 0.74 | 3.34 | 3.68 | 3.96 | 0.57 | 9.41 | 3.88 | 1.66 | 67.91 |
ATS | 3.73 | 5.02 | 1.68 | 0.07 | 1.18 | 1.14 | 1.09 | 0.98 | 10.82 | 2.11 | 3.9 | 5.93 | 2.33 | 1.06 | 1.42 | 36.08 | 1.16 | 0.93 | 2.21 | 1.58 | 7.04 | 0.71 | 2.41 | 4.96 | 0.44 | 63.92 |
CJR | 1.71 | 5.01 | 4.63 | 1.4 | 1.92 | 2.35 | 1.64 | 0.09 | 2.28 | 1.66 | 0.64 | 0.92 | 1.94 | 2.48 | 2.26 | 1.42 | 32.96 | 14.14 | 7.59 | 0.87 | 2.05 | 0.89 | 4.38 | 3.48 | 1.29 | 67.04 |
EJR | 0.68 | 1.38 | 3.32 | 0.64 | 0.97 | 1.49 | 0.52 | 0.51 | 2.89 | 0.64 | 0.58 | 2.05 | 1.05 | 3.49 | 4.41 | 2.27 | 15.36 | 37.36 | 6.54 | 1.18 | 0.97 | 2.92 | 2.53 | 3.43 | 2.81 | 62.64 |
MTR | 1.04 | 3.38 | 13.36 | 3.12 | 1.18 | 1.83 | 0.66 | 1.14 | 0.65 | 1.18 | 1.08 | 0.47 | 0.29 | 1.78 | 0.42 | 1.25 | 3.09 | 2.67 | 50.27 | 0.5 | 3.07 | 1.25 | 3.02 | 1.69 | 1.63 | 49.73 |
TSLA | 2.72 | 4.55 | 3.23 | 0.48 | 6.46 | 0.74 | 0.16 | 1.33 | 7.05 | 2.43 | 6.62 | 3.92 | 0.97 | 3.08 | 3.28 | 1.61 | 0.72 | 1.28 | 0.5 | 39.61 | 2.4 | 2.03 | 2.23 | 1.98 | 0.62 | 60.39 |
DLR | 3.19 | 7.17 | 4.78 | 0.89 | 2.71 | 0.52 | 0.6 | 0.99 | 7.53 | 3.08 | 2.23 | 3.61 | 0.99 | 2.66 | 2.08 | 7.87 | 1.33 | 0.77 | 3.41 | 2.29 | 25.39 | 2.1 | 5.83 | 6.04 | 1.94 | 74.61 |
SDI | 6.05 | 3.34 | 3.24 | 0.07 | 2.78 | 0.93 | 0.27 | 0.26 | 2.99 | 0.63 | 1.17 | 1.07 | 1.22 | 1.6 | 1.52 | 1.45 | 0.56 | 0.1 | 4.49 | 5.25 | 4.62 | 42.96 | 10.91 | 1.75 | 0.76 | 57.04 |
ALS | 3.89 | 6.61 | 5.72 | 0.21 | 5.6 | 1.09 | 1.48 | 1.58 | 6.68 | 3.29 | 2.64 | 2.63 | 3.67 | 2.29 | 0.96 | 2.15 | 0.17 | 1.2 | 3.38 | 1.86 | 3.9 | 1.99 | 35.39 | 1.07 | 0.55 | 64.61 |
VMW | 2.42 | 2.54 | 1.52 | 0.31 | 0.72 | 0.4 | 0.53 | 1.61 | 8.19 | 5.76 | 3.45 | 5.5 | 2.39 | 2.61 | 2.31 | 5.08 | 2.7 | 0.76 | 1.66 | 1.59 | 7.58 | 1.95 | 1.93 | 36.01 | 0.5 | 63.99 |
WTI | 2.15 | 0.78 | 2.47 | 0.76 | 0.6 | 0.16 | 2.18 | 0.2 | 5 | 9 | 0.79 | 2.91 | 1.75 | 0.53 | 1.62 | 2.37 | 0.26 | 1.91 | 0.99 | 2.64 | 1.61 | 1.38 | 0.5 | 1.09 | 56.34 | 43.66 |
TO | 69.55 | 99.96 | 77.46 | 22.39 | 78.44 | 22.77 | 24.94 | 29.12 | 125.05 | 73.15 | 79.53 | 98.13 | 52.97 | 67.54 | 38.99 | 68.47 | 37.19 | 36.24 | 84.31 | 58.77 | 76.19 | 30.1 | 88.99 | 61.29 | 29.3 | |
ALL | 104.06 | 126.46 | 115.33 | 74.94 | 104.13 | 92.8 | 88.02 | 82.57 | 148.84 | 111.39 | 106.13 | 122.17 | 87.72 | 101.17 | 71.08 | 104.54 | 70.15 | 73.6 | 134.58 | 98.37 | 101.59 | 73.07 | 124.37 | 97.3 | 85.64 | TCI |
NET | 4.06 | 26.46 | 15.33 | −25.06 | 4.13 | −7.2 | −11.98 | −17.43 | 48.84 | 11.39 | 6.13 | 22.17 | −12.28 | 1.17 | −28.92 | 4.54 | −29.85 | −26.4 | 34.58 | −1.63 | 1.59 | −26.93 | 24.37 | −2.7 | −14.36 | 61.23 |
Hedge Ratios | Full Sample (3/01/2011–25/06/2020) | Pre-COVID-19 (3/01/2011–31/12/2019) | COVID-19 Era (1/01/2020–25/06/2020) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | S.D. | Min | Max | Mean | Median | S.D. | Min | Max | Mean | Median | S.D. | Min | Max | |
WTI/SGRE | 0.034 | 0.023 | 0.048 | −0.012 | 0.529 | 0.024 | 0.017 | 0.029 | −0.014 | 0.292 | 0.362 | 0.219 | 0.350 | 0.061 | 1.710 |
WTI/VWS | 0.030 | 0.020 | 0.046 | −0.004 | 0.540 | 0.015 | 0.011 | 0.016 | −0.012 | 0.104 | 0.760 | 0.465 | 0.694 | 0.211 | 3.710 |
WTI/XGST | 0.034 | 0.026 | 0.039 | −0.005 | 0.478 | 0.031 | 0.027 | 0.022 | −0.003 | 0.213 | 0.019 | 0.012 | 0.017 | 0.006 | 0.080 |
WTI/CHSPTE | 0.023 | 0.019 | 0.024 | −0.049 | 0.238 | 0.025 | 0.022 | 0.019 | −0.003 | 0.192 | −0.061 | −0.037 | 0.054 | −0.255 | −0.017 |
WTI/NRDX | 0.036 | 0.022 | 0.060 | −0.029 | 0.661 | 0.018 | 0.013 | 0.022 | −0.033 | 0.182 | 0.561 | 0.305 | 0.577 | 0.169 | 2.740 |
WTI/CNE | 0.014 | 0.009 | 0.029 | −0.107 | 0.306 | 0.013 | 0.009 | 0.020 | −0.067 | 0.171 | 0.304 | 0.181 | 0.264 | 0.090 | 1.240 |
WTI/SE | 0.001 | −0.004 | 0.028 | −0.047 | 0.345 | −0.004 | −0.005 | 0.013 | −0.041 | 0.090 | −0.138 | −0.069 | 0.133 | −0.693 | −0.017 |
WTI/IE | 0.056 | 0.044 | 0.054 | 0.009 | 0.503 | 0.052 | 0.044 | 0.035 | 0.008 | 0.351 | 0.014 | 0.009 | 0.013 | 0.004 | 0.059 |
WTI/AM | 0.192 | 0.152 | 0.139 | 0.043 | 1.590 | 0.162 | 0.138 | 0.083 | 0.068 | 0.845 | 0.812 | 0.507 | 0.710 | 0.220 | 4.140 |
WTI/FS | 0.066 | 0.045 | 0.097 | 0.007 | 1.160 | 0.043 | 0.038 | 0.027 | 0.004 | 0.223 | 0.653 | 0.395 | 0.580 | 0.172 | 2.730 |
WTI/JH | 0.037 | 0.029 | 0.036 | 0.003 | 0.379 | 0.031 | 0.028 | 0.019 | 0.002 | 0.161 | 0.165 | 0.095 | 0.178 | 0.029 | 0.884 |
WTI/CS | 0.043 | 0.027 | 0.067 | 0.002 | 0.758 | 0.027 | 0.021 | 0.026 | 0.000 | 0.302 | 0.552 | 0.346 | 0.569 | 0.129 | 3.300 |
WTI/OERL | 0.168 | 0.138 | 0.118 | 0.036 | 1.240 | 0.147 | 0.127 | 0.071 | 0.035 | 0.597 | 0.576 | 0.376 | 0.478 | 0.203 | 2.330 |
WTI/SPC | 0.078 | 0.055 | 0.100 | 0.006 | 1.420 | 0.053 | 0.043 | 0.033 | 0.009 | 0.365 | 0.253 | 0.149 | 0.245 | 0.027 | 1.230 |
WTI/URE | 0.010 | −0.011 | 0.034 | −0.158 | 0.400 | −0.017 | −0.4014 | 0.020 | −0.122 | 0.051 | 0.408 | 0.265 | 0.386 | 0.092 | 1.980 |
WTI/ATS | 0.115 | 0.080 | 0.163 | 0.008 | 2.130 | 0.078 | 0.066 | 0.050 | 0.012 | 0.541 | 0.834 | 0.515 | 0.780 | 0.184 | 4.020 |
WTI/CJR | 0.093 | 0.078 | 0.089 | −0.017 | 1.070 | 0.075 | 0.070 | 0.039 | 0.000 | 0.250 | 0.581 | 0.357 | 0.509 | 0.164 | 2.400 |
WTI/EJR | 0.045 | 0.030 | 0.065 | −0.193 | 0.742 | 0.040 | 0.030 | 0.043 | −0.097 | 0.316 | 0.186 | 0.113 | 0.162 | 0.053 | 0.764 |
WTI/MTR | 0.191 | 0.152 | 0.198 | 0.021 | 2.510 | 0.163 | 0.145 | 0.091 | 0.026 | 1.040 | 0.141 | 0.084 | 0.123 | 0.042 | 0.578 |
WTI/TSLA | 0.040 | 0.028 | 0.048 | −0.005 | 0.480 | 0.018 | 0.013 | 0.021 | −0.024 | 0.193 | 0.286 | 0.204 | 0.239 | 0.055 | 1.140 |
WTI/DLR | 0.167 | 0.140 | 0.123 | 0.017 | 1.250 | 0.128 | 0.118 | 0.076 | 0.016 | 0.705 | 1.070 | 0.654 | 1.080 | 0.176 | 5.620 |
WTI/SDI | 0.069 | 0.057 | 0.061 | −0.020 | 0.710 | 0.054 | 0.049 | 0.024 | 0.000 | 0.157 | 0.019 | 0.012 | 0.018 | 0.003 | 0.087 |
WTI/ALS | 0.120 | 0.099 | 0.100 | 0.021 | 1.330 | 0.096 | 0.086 | 0.045 | 0.022 | 0.387 | 0.567 | 0.353 | 0.571 | 0.181 | 2.780 |
WTI/VMW | 0.126 | 0.093 | 0.132 | 0.009 | 1.810 | 0.096 | 0.081 | 0.045 | 0.009 | 0.284 | 0.577 | 0.334 | 0.540 | 0.071 | 2.900 |
Portfolio Weights | Full Sample (3/01/2011–25/06/2020) | Pre-COVID-19 (3/01/2011–31/12/2019) | COVID-19 Era (1/01/2020–25/06/2020) | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Median | S.D. | Min | Max | Mean | Median | S.D. | Min | Max | Mean | Median | S.D. | Min | Max | |
WTI/SGRE | 0.644 | 0.713 | 0.186 | 0.006 | 0.956 | 0.67 | 0.713 | 0.16 | 0.099 | 0.868 | 0.303 | 0.275 | 0.247 | 0.000 | 0.891 |
WTI/VWS | 0.643 | 0.673 | 0.217 | 0.006 | 0.981 | 0.668 | 0.678 | 0.205 | 0.095 | 0.965 | 0.153 | 0.135 | 0.139 | 0.000 | 0.571 |
WTI/XGST | 0.705 | 0.757 | 0.18 | 0.009 | 0.931 | 0.731 | 0.754 | 0.142 | 0.188 | 0.942 | 0.295 | 0.277 | 0.218 | 0.007 | 0.636 |
WTI/CHSPTE | 0.692 | 0.75 | 0.181 | 0.009 | 0.964 | 0.724 | 0.765 | 0.147 | 0.129 | 0.964 | 0.196 | 0.164 | 0.158 | 0.005 | 0.484 |
WTI/NRDX | 0.696 | 0.764 | 0.186 | 0.004 | 0.993 | 0.712 | 0.76 | 0.156 | 0.112 | 0.989 | 0.388 | 0.456 | 0.277 | 0.000 | 0.824 |
WTI/CNE | 0.632 | 0.662 | 0.209 | 0.004 | 0.973 | 0.66 | 0.679 | 0.187 | 0.096 | 0.965 | 0.17 | 0.139 | 0.148 | 0.000 | 0.432 |
WTI/SE | 0.742 | 0.794 | 0.18 | 0.011 | 0.994 | 0.761 | 0.802 | 0.145 | 0.208 | 0.995 | 0.32 | 0.311 | 0.269 | 0.007 | 0.871 |
WTI/IE | 0.693 | 0.733 | 0.182 | 0.016 | 0.942 | 0.706 | 0.741 | 0.159 | 0.131 | 0.931 | 0.508 | 0.586 | 0.291 | 0.027 | 0.857 |
WTI/AM | 0.49 | 0.548 | 0.192 | 0.000 | 0.872 | 0.502 | 0.545 | 0.183 | 0.011 | 0.787 | 0.272 | 0.279 | 0.24 | 0.000 | 0.87 |
WTI/FS | 0.726 | 0.783 | 0.209 | 0.000 | 0.969 | 0.738 | 0.778 | 0.188 | 0.111 | 0.967 | 0.307 | 0.255 | 0.281 | 0.000 | 0.776 |
WTI/JH | 0.792 | 0.839 | 0.17 | 0.039 | 0.995 | 0.807 | 0.844 | 0.145 | 0.331 | 0.981 | 0.508 | 0.583 | 0.289 | 0.001 | 0.959 |
WTI/CS | 0.789 | 0.842 | 0.176 | 0.011 | 0.964 | 0.806 | 0.837 | 0.132 | 0.189 | 0.961 | 0.312 | 0.282 | 0.251 | 0.000 | 0.853 |
WTI/OERL | 0.445 | 0.476 | 0.187 | 0.000 | 0.912 | 0.466 | 0.499 | 0.184 | 0.056 | 0.9 | 0.215 | 0.205 | 0.167 | 0.000 | 0.564 |
WTI/SPC | 0.809 | 0.878 | 0.177 | 0.000 | 1 | 0.822 | 0.87 | 0.132 | 0.156 | 0.952 | 0.501 | 0.567 | 0.316 | 0.000 | 1 |
WTI/URE | 0.618 | 0.664 | 0.19 | 0.001 | 0.957 | 0.641 | 0.664 | 0.174 | 0.13 | 0.958 | 0.21 | 0.175 | 0.165 | 0.000 | 0.719 |
WTI/ATS | 0.477 | 0.521 | 0.184 | 0.000 | 0.954 | 0.497 | 0.536 | 0.163 | 0.037 | 0.737 | 0.146 | 0.123 | 0.152 | 0.000 | 0.716 |
WTI/CJR | 0.372 | 0.343 | 0.186 | 0.000 | 0.968 | 0.39 | 0.344 | 0.188 | 0.071 | 0.971 | 0.168 | 0.116 | 0.16 | 0.000 | 0.472 |
WTI/EJR | 0.341 | 0.322 | 0.179 | 0.001 | 0.981 | 0.358 | 0.334 | 0.184 | 0.038 | 0.98 | 0.178 | 0.141 | 0.151 | 0.001 | 0.451 |
WTI/MTR | 0.238 | 0.24 | 0.125 | 0.000 | 0.873 | 0.245 | 0.24 | 0.132 | 0.000 | 0.929 | 0.158 | 0.13 | 0.133 | 0.001 | 0.395 |
WTI/TSLA | 0.704 | 0.756 | 0.19 | 0.040 | 0.962 | 0.71 | 0.753 | 0.174 | 0.113 | 0.94 | 0.534 | 0.569 | 0.32 | 0.000 | 0.996 |
WTI/DLR | 0.351 | 0.346 | 0.182 | 0.000 | 0.973 | 0.368 | 0.364 | 0.187 | 0.022 | 0.966 | 0.169 | 0.105 | 0.191 | 0.000 | 0.906 |
WTI/SDI | 0.578 | 0.632 | 0.18 | 0.008 | 0.878 | 0.592 | 0.64 | 0.168 | 0.151 | 0.86 | 0.358 | 0.36 | 0.243 | 0.009 | 0.896 |
WTI/ALS | 0.532 | 0.564 | 0.208 | 0.000 | 0.97 | 0.556 | 0.593 | 0.2 | 0.082 | 0.939 | 0.207 | 0.183 | 0.164 | 0.000 | 0.548 |
WTI/VMW | 0.582 | 0.648 | 0.197 | 0.000 | 0.993 | 0.604 | 0.647 | 0.181 | 0.062 | 0.992 | 0.244 | 0.235 | 0.217 | 0.000 | 0.957 |
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Foglia, M.; Angelini, E. Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era. Sustainability 2020, 12, 9863. https://doi.org/10.3390/su12239863
Foglia M, Angelini E. Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era. Sustainability. 2020; 12(23):9863. https://doi.org/10.3390/su12239863
Chicago/Turabian StyleFoglia, Matteo, and Eliana Angelini. 2020. "Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era" Sustainability 12, no. 23: 9863. https://doi.org/10.3390/su12239863
APA StyleFoglia, M., & Angelini, E. (2020). Volatility Connectedness between Clean Energy Firms and Crude Oil in the COVID-19 Era. Sustainability, 12(23), 9863. https://doi.org/10.3390/su12239863