| Title |
Modelling environmental risk |
| ID_Doc |
71479 |
| Authors |
Hoti, S; McAleer, M; Pauwels, LL |
| Title |
Modelling environmental risk |
| Year |
2005 |
| Published |
Environmental Modelling & Software, 20.0, 10 |
| DOI |
10.1016/j.envsoft.2004.08.010 |
| Abstract |
As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are derived from the Dow Jones Global Indexes. The sustainability activities of firms are assessed using criteria in three areas, namely economic, environmental and social. Risk (or uncertainty) is analysed empirically through the use of conditional volatility models of investment in sustainability-driven firms that are selected through the DJSI. The empirical analysis is based on financial econometric models to determine the underlying conditional volatility, with the estimates showing that there is strong evidence of volatility clustering, short and long run persistence of shocks to the index returns, and asymmetric leverage between positive and negative shocks to returns. (c) 2004 Published by Elsevier Ltd. |
| Author Keywords |
environmental sustainability index; environmental risk; conditional volatility; Dow Jones Sustainability Indexes; GARCH; GJR; persistence shocks; asymmetry; moment condition; log-moment condition |
| Index Keywords |
Index Keywords |
| Document Type |
Other |
| Open Access |
Open Access |
| Source |
Science Citation Index Expanded (SCI-EXPANDED); Social Science Citation Index (SSCI) |
| EID |
WOS:000229411800008 |
| WoS Category |
Computer Science, Interdisciplinary Applications; Engineering, Environmental; Environmental Sciences; Water Resources |
| Research Area |
Computer Science; Engineering; Environmental Sciences & Ecology; Water Resources |
| PDF |
http://repository.graduateinstitute.ch/record/297377/files/HEIWP08-2004.pdf
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