Modelling environmental risk
Modelling environmental risk
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DOI：
10.1016/j.envsoft.2004.08.010
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发表时间：
2005-10-01
影响因子：
4.9
通讯作者：
Pauwels, LL
中科院分区：
文献类型：
--
作者：
Hoti, S;McAleer, M;Pauwels, LL
随着环境问题在经济研究和可持续发展政策中变得越来越重要，私营部门的公司在开展商业活动时引入了环境和社会问题。道琼斯可持续发展指数(DJSI)通过源自道琼斯全球指数的金融市场指数来跟踪此类行为。使用三个领域的标准来评估企业的可持续性活动，即经济、环境和社会。风险(或不确定性)是通过使用通过DJSI选择的可持续性驱动型企业投资的条件波动率模型进行实证分析的。实证分析是基于金融计量经济学模型，以确定潜在的条件波动率，估计显示，有强烈的证据表明，波动率集聚，对指数收益的短期和长期冲击的持续性，以及对收益的正负冲击之间的不对称杠杆。(C)2004年，爱思唯尔有限公司出版。
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.