Abstract The current paper focusses on the co-movement between oil prices and renewable energy stock markets in a multivariate framework. The vine copula approach that offers a great flexibility in conditional dependence modelling is used. More specifically, we investigate the issue of the average dependence and co-movement between oil prices (West Texas Intermediate [WTI]) and renewable energy stock prices (Wilder Hill New Energy Global Innovation Index [NEX], Wilder Hill Clean Energy Index [ECO] and S and P Global Clean Energy Index [SPGCE]) by applying the vine copula based threshold generalised autoregressive conditional heteroskedasticity (TGARCH) model. Over the period 2003–2016, empirical findings reveal significant and symmetric dependence between the considered markets. Therefore, there is symmetric tail dependence, indicating the evidence of upper and lower tail dependence. This means that movements in oil prices and renewable energy indices are coupled to the same direction. These empirical insights are of particular interest to policymakers, risk managers and investors in renewable energy sector.

中文翻译：

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石油价格与可再生能源股票价格之间的条件依赖：藤蔓copula方法

摘要本文着眼于多变量框架下油价与可再生能源股票市场之间的联动。使用在条件依赖建模中具有极大灵活性的葡萄系方法。更具体地说，我们调查了石油价格（西德克萨斯中级原油[WTI]）和可再生能源股票价格（Wilder Hill新能源全球创新指数[NEX]，Wilder Hill清洁能源指数[ECO]之间的平均依赖性和共同运动的问题]和S和P全球清洁能源指数（SPGCE）），方法是应用基于葡萄树的阈值广义自回归条件异方差（TGARCH）模型。在2003年至2016年期间，经验结果表明，所考虑的市场之间存在显着且对称的依赖关系。因此，存在对称的尾部依赖性，指示上下尾巴依赖的证据。这意味着石油价格和可再生能源指数的变动是同一个方向。这些经验性见解对可再生能源领域的决策者，风险管理者和投资者特别感兴趣。