State-space risk measurement: an application to renewable energy returns
This paper uses state-space methodology for modelling excess returns, risk and dynamics for the WilderHill New Energy Index (NEX). The NEX is a global exchange-traded index for investment in development, production and efficiency of renewable energy. It currently lists 98 companies located in 21 cou...
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| Format: | Conference Paper |
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Modeling and Simulation Society of Australia and New Zealand Inc.
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/49150 |