Search Results - "Rognone, Lavinia"

The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets by Zhou, Yuqin, Wu, Shan, Liu, Zhenhua, Rognone, Lavinia

“…Climate change affects price fluctuations in the carbon, energy and metals markets through physical and transition risks. Climate physical risk is mainly…”
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Hedging climate risks with green assets by Cepni, Oguzhan, Demirer, Riza, Rognone, Lavinia

“…Utilizing two novel measures of transition and physical climate risks obtained from textual analysis, we examine the hedging benefits of various green assets…”
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News sentiment in the cryptocurrency market: An empirical comparison with Forex by Rognone, Lavinia, Hyde, Stuart, Zhang, S. Sarah

“…We use high frequency intra-day data to investigate the influence of unscheduled currency and Bitcoin news on the returns, volume and volatility of the…”
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From climate risk to the returns and volatility of energy assets and green bonds: A predictability analysis under various conditions by Bouri, Elie, Rognone, Lavinia, Sokhanvar, Amin, Wang, Zhenkun

“…The importance of climate risk as a source of systemic risk for financial markets and the decisions of investors, portfolio managers, and regulators is…”
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Climate uncertainty and information transmissions across the conventional and ESG assets by Cepni, Oguzhan, Demirer, Riza, Pham, Linh, Rognone, Lavinia

“…This paper examines the effect of climate uncertainty on the spillover effects across the European conventional and environmental, social, and governance (ESG)…”
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Climate risk and the nexus of clean energy and technology stocks by Bouri, Elie, Dudda, Tom L., Rognone, Lavinia, Walther, Thomas

“…Abstract We examine the impact of climate risks on the nexus of clean energy and technology stocks using a time-varying correlation model. We find that…”
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Transition versus physical climate risk pricing in European financial markets: a text-based approach by Bua, Giovanna, Kapp, Daniel, Ramella, Federico, Rognone, Lavinia

“…Under its climate regulation, the EU is expected to become the first continent with a net-zero emissions balance. We study the pricing of climate risks,…”
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Commodity Futures Market Conditions and Climate Policy Risk: Evidence From Energy and Metals Markets by Dogah, Kingsley E., Wu, Yingying, Rognone, Lavinia

“…ABSTRACT This study investigates the impact of climate policy uncertainty (CPU) on energy and metal commodity futures markets by employing quantile regression,…”
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Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model by Karmakar, Sayar, Gupta, Rangan, Cepni, Oguzhan, Rognone, Lavinia

“…We investigate whether text-based physical or transition climate risks forecast the daily volume of gold trade contracts. Given the count-valued nature of gold…”
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Climate risk, ESG ratings, and the flow-performance relationship in mutual funds by Ali, Sara, Badshah, Ihsan, Demirer, Riza, Hegde, Prasad, Rognone, Lavinia

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Forecasting international financial stress: The role of climate risks by Fava, Santino Del, Gupta, Rangan, Pierdzioch, Christian, Rognone, Lavinia

“…We study the predictive value of climate risks for subsequent financial stress in a sample of daily data running from October 2006 to December 2022 of thirteen…”
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Essays in Empirical Finance: News Sentiment in Cryptocurrency, the Value of Noise Timing, and the Pricing of Climate Change Risks by Rognone, Lavinia

“…This thesis improves the understanding of cryptocurrencies as financial assets by examining the Bitcoin reaction to high-frequency news compared to Forex,…”
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