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18-052/III - Latent Volatility Granger Causality and Spillovers in Renewable Energy and Crude Oil ETFs


  • Authors
    Chia-Lin Chang, National Chung Hsing University; Michael McAleer, Asia University, University of Sydney Business School, EUR; Yu-Ann Wang, National Chung Hsing University
  • Publication date
    May 25, 2018
  • Keywords
    Renewable Energy, Latent Volatility, Granger Causality, Co-volatility Spillovers, Solar, Wind, Water, Nuclear Power.
  • JEL
    C32, C58, G12, G15, Q42