Publications Database

Welcome to the new Schulich Peer-Reviewed Publication Database!

The database is currently in beta-testing and will be updated with more features as time goes on. In the meantime, stakeholders are free to explore our faculty’s numerous works. The left-hand panel affords the ability to search by the following:

  • Faculty Member’s Name;
  • Area of Expertise;
  • Whether the Publication is Open-Access (free for public download);
  • Journal Name; and
  • Date Range.

At present, the database covers publications from 2012 to 2020, but will extend further back in the future. In addition to listing publications, the database includes two types of impact metrics: Altmetrics and Plum. The database will be updated annually with most recent publications from our faculty.

If you have any questions or input, please don’t hesitate to get in touch.

 

Search Results

Sadorsky, P. (2014). "Carbon Price Volatility and Financial Risk Management", The Journal of Energy Markets, 7(1), 83-102.

View Paper

Keywords
Abstract Carbon dioxide emissions represent a new traded asset that, in addition to reducing carbon dioxide emissions through cap-and-trade initiatives, can offer financial risk diversification benefits. In this paper, multivariate generalized auto-regressive conditional heteroscedasticity (GARCH) models are used to model conditional correlations between carbon prices, oil prices, natural gas prices and stock prices. Compared with the diagonal or dynamic conditional correlation model, the constant conditional correlation model is found to fit the data the best and is used to generate hedge ratios and optimal portfolios. Carbon does not appear to be useful for hedging oil or the S&P 500 index but does seem to be useful for hedging natural gas. The average weight for the carbon/natural gas portfolio indicates that for a US$1 portfolio, 29 cents should be invested in carbon and 71 cents invested in natural gas. Hedge ratios and optimal portfolio weights vary considerably over the sample period, indicating that financial positions should be monitored frequently.