State-space risk measurement: an application to renewable energy returns

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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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Bibliographic Details
Main Author:	Inchauspe, Julian
Other Authors:	Felix Chan
Format:	Conference Paper
Published:	Modeling and Simulation Society of Australia and New Zealand Inc. 2011
Subjects:	Markov-Switching Risk State-Space Modelling Renewable Energy
Online Access:	http://hdl.handle.net/20.500.11937/49150

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