Sciencedirect_articles.zip

  • 霍元甲
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  • 2017-05-15 20:50
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讲了对冲最优套期保值比,以及对冲策略对冲优度
Sciencedirect_articles.zip
  • Information-transmission-between-U-S-and-China-index-futures-markets-An-asymmetric-DCC-GARCH-approach_2016_Economic-Modelling.pdf
    735.9KB
  • The-impact-of-oil-shocks-on-exchange-rates-A-Markov-switching-approach_2016_Energy-Economics.pdf
    1.4MB
  • Quantile-dependence-of-oil-price-movements-and-stock-returns_2016_Energy-Economics.pdf
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内容介绍
<html xmlns="http://www.w3.org/1999/xhtml"> <head> <meta charset="utf-8"> <meta name="generator" content="pdf2htmlEX"> <meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1"> <link rel="stylesheet" href="https://static.pudn.com/base/css/base.min.css"> <link rel="stylesheet" href="https://static.pudn.com/base/css/fancy.min.css"> <link rel="stylesheet" href="https://static.pudn.com/prod/directory_preview_static/6259a1c0be9ad24cfab708bf/raw.css"> <script src="https://static.pudn.com/base/js/compatibility.min.js"></script> <script src="https://static.pudn.com/base/js/pdf2htmlEX.min.js"></script> <script> try{ pdf2htmlEX.defaultViewer = new pdf2htmlEX.Viewer({}); }catch(e){} </script> <title></title> </head> <body> <div id="sidebar" style="display: none"> <div id="outline"> </div> </div> <div id="pf1" class="pf w0 h0" data-page-no="1"><div class="pc pc1 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="https://static.pudn.com/prod/directory_preview_static/6259a1c0be9ad24cfab708bf/bg1.jpg"><div class="t m0 x1 h2 y1 ff1 fs0 fc0 sc0 ls0 ws0">Qua<span class="_ _0"></span>nti<span class="_ _0"></span>le<span class="_ _1"> </span>depe<span class="_ _0"></span>nd<span class="_ _0"></span>en<span class="_ _0"></span>ce<span class="_ _1"> </span>of<span class="_ _1"> </span>oil<span class="_ _1"> </span>pric<span class="_ _0"></span>e<span class="_ _1"> </span>move<span class="_ _0"></span>m<span class="_ _0"></span>ents<span class="_ _1"> </span>an<span class="_ _0"></span>d<span class="_ _1"> </span>stoc<span class="_ _0"></span>k<span class="_ _1"> </span>ret<span class="_ _0"></span>urns</div><div class="t m0 x1 h3 y2 ff1 fs1 fc0 sc0 ls0 ws0">Juan<span class="_ _2"> </span>C.<span class="_ _2"> </span>Rebor<span class="_ _0"></span>edo</div><div class="t m1 x2 h4 y3 ff1 fs2 fc1 sc0 ls0 ws0">a<span class="fc0">,</span></div><div class="t m0 x3 h5 y4 ff2 fs3 fc1 sc0 ls0 ws0">&#8270;</div><div class="t m0 x4 h3 y2 ff1 fs1 fc0 sc0 ls0 ws0">,<span class="_ _3"> </span>And<span class="_ _0"></span>rea<span class="_ _2"> </span>Ugol<span class="_ _0"></span>ini</div><div class="t m1 x5 h4 y3 ff1 fs2 fc1 sc0 ls0 ws0">b</div><div class="t m2 x1 h6 y5 ff1 fs4 fc0 sc0 ls0 ws0">a</div><div class="t m0 x6 h7 y6 ff3 fs5 fc0 sc0 ls0 ws0">Dep<span class="_ _0"></span>artm<span class="_ _0"></span>en<span class="_ _0"></span>t<span class="_ _4"> </span>of<span class="_ _4"> </span>Econ<span class="_ _0"></span>om<span class="_ _0"></span>ic<span class="_ _0"></span>s,<span class="_ _4"> </span>Uni<span class="_ _0"></span>ver<span class="_ _0"></span>si<span class="_ _0"></span>da<span class="_ _0"></span>de<span class="_ _4"> </span>de<span class="_ _4"> </span>Sa<span class="_ _0"></span>nti<span class="_ _0"></span>ag<span class="_ _0"></span>o<span class="_ _4"> </span>de<span class="_ _4"> </span>Com<span class="_ _0"></span>post<span class="_ _0"></span>el<span class="_ _0"></span>a,<span class="_ _4"> </span>S<span class="_ _0"></span>pai<span class="_ _0"></span>n</div><div class="t m2 x1 h6 y7 ff1 fs4 fc0 sc0 ls0 ws0">b</div><div class="t m0 x6 h7 y8 ff3 fs5 fc0 sc0 ls0 ws0">Dip<span class="_ _0"></span>ar<span class="_ _0"></span>tim<span class="_ _0"></span>ento<span class="_ _4"> </span>d<span class="_ _0"></span>i<span class="_ _4"> </span>St<span class="_ _0"></span>atis<span class="_ _0"></span>ti<span class="_ _0"></span>ca,<span class="_ _4"> </span>In<span class="_ _0"></span>fo<span class="_ _0"></span>rmat<span class="_ _0"></span>ic<span class="_ _0"></span>a,<span class="_ _4"> </span>Ap<span class="_ _0"></span>pl<span class="_ _0"></span>icaz<span class="_ _0"></span>io<span class="_ _0"></span>ni<span class="_ _4"> </span><span class="ff4">&#8220;</span>G.<span class="_ _5"> </span>Pare<span class="_ _0"></span>nt<span class="_ _0"></span>i<span class="ff4">&#8221;<span class="_ _0"></span><span class="ff3">,<span class="_ _4"> </span>Univ<span class="_ _0"></span>er<span class="_ _0"></span>sity<span class="_ _5"> </span>of<span class="_ _5"> </span>Floren<span class="_ _0"></span>ce<span class="_ _0"></span>,<span class="_ _4"> </span>Ital<span class="_ _0"></span>y</span></span></div><div class="t m0 x7 h8 y9 ff5 fs6 fc0 sc0 ls1 ws0">abstract<span class="_ _6"></span><span class="ls2">article<span class="_ _7"> </span>info</span></div><div class="t m0 x1 h7 ya ff3 fs5 fc0 sc0 ls0 ws0">Arti<span class="_ _0"></span>cle<span class="_ _5"> </span>his<span class="_ _0"></span>tory<span class="_ _0"></span>:</div><div class="t m0 x1 h9 yb ff1 fs5 fc0 sc0 ls0 ws0">Rec<span class="_ _0"></span>eive<span class="_ _0"></span>d<span class="_ _5"> </span>12<span class="_ _4"> </span>May<span class="_ _5"> </span>2015</div><div class="t m0 x1 h9 yc ff1 fs5 fc0 sc0 ls0 ws0">Rec<span class="_ _0"></span>eive<span class="_ _0"></span>d<span class="_ _5"> </span>in<span class="_ _4"> </span>revi<span class="_ _0"></span>sed<span class="_ _5"> </span>form<span class="_ _5"> </span>6<span class="_ _4"> </span>Novem<span class="_ _0"></span>ber<span class="_ _5"> </span>2015</div><div class="t m0 x1 h9 yd ff1 fs5 fc0 sc0 ls0 ws0">Acce<span class="_ _0"></span>pt<span class="_ _0"></span>ed<span class="_ _5"> </span>11<span class="_ _4"> </span>Nove<span class="_ _0"></span>mber<span class="_ _5"> </span>2015</div><div class="t m0 x1 h9 ye ff1 fs5 fc0 sc0 ls0 ws0">Avai<span class="_ _0"></span>la<span class="_ _0"></span>ble<span class="_ _5"> </span>onlin<span class="_ _0"></span>e<span class="_ _5"> </span>2<span class="_ _4"> </span>Decem<span class="_ _0"></span>ber<span class="_ _5"> </span>2015</div><div class="t m0 x7 ha yf ff1 fs7 fc0 sc0 ls0 ws0">We<span class="_ _4"> </span>exa<span class="_ _0"></span>min<span class="_ _0"></span>e<span class="_ _4"> </span>th<span class="_ _0"></span>e<span class="_ _4"> </span>impa<span class="_ _0"></span>ct<span class="_ _4"> </span>of<span class="_ _4"> </span>quan<span class="_ _0"></span>t<span class="_ _0"></span>ile<span class="_ _5"> </span>and<span class="_ _4"> </span>inter<span class="_ _8"></span>qu<span class="_ _8"></span>anti<span class="_ _8"></span>le<span class="_ _9"> </span>oil<span class="_ _5"> </span>pric<span class="_ _8"></span>e<span class="_ _9"> </span>mov<span class="_ _8"></span>emen<span class="_ _8"></span>ts<span class="_ _9"> </span>o<span class="_ _8"></span>n<span class="_ _9"> </span>dif<span class="_ _8"></span>fere<span class="_ _8"></span>nt<span class="_ _9"> </span>st<span class="_ _8"></span>ock<span class="_ _4"> </span>retu<span class="_ _8"></span>rn<span class="_ _4"> </span>quan<span class="_ _8"></span>tiles<span class="_ _5"> </span>by</div><div class="t m0 x7 ha y10 ff1 fs7 fc0 sc0 ls3 ws0">testing<span class="_ _4"> </span>the<span class="_ _9"> </span>hypothesis<span class="_ _4"> </span>of<span class="_ _9"> </span>equality<span class="_ _4"> </span>in<span class="_ _9"> </span>conditional<span class="_ _9"> </span>and<span class="_ _4"> </span>uncond<span class="ls4">itional<span class="_ _4"> </span>q<span class="_ _a"></span>uantile<span class="_ _4"> </span>distributio<span class="ls5">n<span class="_ _9"> </span>functions<span class="_ _9"> </span>of<span class="_ _4"> </span>s<span class="_ _a"></span>tock<span class="_ _4"> </span>r<span class="_ _a"></span>eturns.</span></span></div><div class="t m0 x7 ha y11 ff1 fs7 fc0 sc0 ls4 ws0">We<span class="_ _5"> </span>capture<span class="_ _4"> </span>quantile<span class="_ _4"> </span>dependence<span class="_ _4"> </span>under<span class="_ _5"> </span>different<span class="_ _4"> </span>stock<span class="_ _4"> </span>marke<span class="ls6">t<span class="_ _4"> </span>conditions,<span class="_ _5"> </span>while<span class="_ _4"> </span>taking<span class="_ _4"> </span>into<span class="_ _4"> </span>account<span class="_ _4"> </span>different<span class="_ _4"> </span>kinds</span></div><div class="t m0 x7 ha y12 ff1 fs7 fc0 sc0 ls0 ws0">of<span class="_ _9"> </span>oil<span class="_ _9"> </span>price<span class="_ _9"> </span>move<span class="_ _8"></span>ments,<span class="_ _9"> </span>by<span class="_ _9"> </span>computing<span class="_ _4"> </span>unconditi<span class="_ _8"></span>onal<span class="_ _9"> </span>and<span class="_ _9"> </span>conditiona<span class="_ _8"></span>l<span class="_ _b"> </span>stock<span class="_ _9"> </span>retu<span class="_ _8"></span>rn<span class="_ _b"> </span>quant<span class="_ _8"></span>iles<span class="_ _9"> </span>through<span class="_ _9"> </span>margin<span class="_ _8"></span>al</div><div class="t m0 x7 ha y13 ff1 fs7 fc0 sc0 ls7 ws0">models<span class="_ _5"> </span>for<span class="_ _5"> </span>stock<span class="_ _4"> </span>returns<span class="_ _4"> </span>and<span class="_ _5"> </span>copula<span class="_ _4"> </span>functions<span class="_ _5"> </span>for<span class="_ _5"> </span>oil-stock<span class="_ _4"> </span>d<span class="ls3">ependence.<span class="_ _5"> </span>Analyzing<span class="_ _5"> </span>stock<span class="_ _4"> </span>return<span class="_ _5"> </span>data<span class="_ _5"> </span>for<span class="_ _4"> </span>three<span class="_ _5"> </span>devel-</span></div><div class="t m0 x7 ha y14 ff1 fs7 fc0 sc0 ls0 ws0">op<span class="_ _8"></span>ed<span class="_ _9"> </span>ec<span class="_ _8"></span>ono<span class="_ _0"></span>mie<span class="_ _8"></span>s<span class="_ _9"> </span>(t<span class="_ _8"></span>he<span class="_ _9"> </span>US<span class="_ _8"></span>,<span class="_ _9"> </span>th<span class="_ _8"></span>e<span class="_ _9"> </span>UK<span class="_ _4"> </span>and<span class="_ _4"> </span>the<span class="_ _4"> </span>Eur<span class="_ _8"></span>opea<span class="_ _8"></span>n<span class="_ _9"> </span>Mo<span class="_ _8"></span>neta<span class="_ _8"></span>ry<span class="_ _9"> </span>Un<span class="_ _8"></span>ion<span class="_ _8"></span>)<span class="_ _9"> </span>and<span class="_ _4"> </span>th<span class="_ _8"></span>e<span class="_ _9"> </span><span class="ff6">&#64257;</span><span class="ls8">ve<span class="_ _9"> </span>BRICS<span class="_ _9"> </span>countries<span class="_ _9"> </span>(Brazil,<span class="_ _9"> </span>Russia,</span></div><div class="t m0 x7 ha y15 ff1 fs7 fc0 sc0 ls0 ws0">In<span class="_ _8"></span>dia,<span class="_ _4"> </span>Chin<span class="_ _8"></span>a<span class="_ _4"> </span>and<span class="_ _9"> </span>So<span class="_ _8"></span>uth<span class="_ _4"> </span>Afr<span class="_ _8"></span>ica)<span class="_ _4"> </span>fo<span class="_ _0"></span>r<span class="_ _4"> </span>2000<span class="_ _4"> </span>to<span class="_ _4"> </span>201<span class="_ _8"></span>4,<span class="_ _9"> </span>our<span class="_ _5"> </span>resu<span class="_ _8"></span>lts<span class="_ _4"> </span>indic<span class="_ _8"></span>at<span class="_ _8"></span>e<span class="_ _9"> </span>tha<span class="_ _8"></span>t:<span class="_ _9"> </span>(1<span class="_ _8"></span>)<span class="_ _9"> </span>the<span class="_ _4"> </span>imp<span class="_ _8"></span>act<span class="_ _4"> </span>of<span class="_ _9"> </span>ext<span class="_ _8"></span>re<span class="_ _8"></span>me<span class="_ _9"> </span>up<span class="_ _0"></span>wa<span class="_ _8"></span>rd<span class="_ _9"> </span>an<span class="_ _8"></span>d</div><div class="t m0 x7 ha y16 ff1 fs7 fc0 sc0 ls0 ws0">downward<span class="_ _4"> </span>oil<span class="_ _9"> </span>price<span class="_ _9"> </span>changes<span class="_ _9"> </span>on<span class="_ _9"> </span>upper<span class="_ _9"> </span>and<span class="_ _9"> </span>lower<span class="_ _9"> </span>stock<span class="_ _9"> </span>price<span class="_ _9"> </span>quantil<span class="_ _0"></span>es<span class="_ _9"> </span>was<span class="_ _9"> </span>much<span class="_ _9"> </span>smaller<span class="_ _9"> </span>before<span class="_ _4"> </span>compared<span class="_ _9"> </span>to</div><div class="t m0 x7 ha y17 ff1 fs7 fc0 sc0 ls9 ws0">a<span class="_ _c"></span>f<span class="_ _c"></span>t<span class="_ _c"></span>e<span class="_ _c"></span>rc<span class="_ _c"></span>r<span class="_ _c"></span>i<span class="_ _c"></span>s<span class="_ _c"></span>i<span class="_ _d"></span>so<span class="_ _d"></span>n<span class="_ _c"></span>s<span class="_ _c"></span>e<span class="_ _c"></span>t<span class="_ _c"></span>;(<span class="_ _c"></span>2<span class="_ _c"></span>)t<span class="_ _c"></span>h<span class="_ _c"></span>ed<span class="_ _c"></span>o<span class="_ _c"></span>w<span class="_ _d"></span>n<span class="_ _c"></span>s<span class="_ _c"></span>i<span class="_ _c"></span>d<span class="_ _c"></span>es<span class="_ _c"></span>p<span class="_ _c"></span>i<span class="_ _c"></span>l<span class="_ _d"></span>l<span class="_ _c"></span>o<span class="_ _c"></span>v<span class="_ _c"></span>e<span class="_ _c"></span>re<span class="_ _c"></span>f<span class="_ _c"></span>f<span class="_ _c"></span>e<span class="_ _c"></span>c<span class="_ _c"></span>t<span class="_ _c"></span>sw<span class="_ _d"></span>e<span class="_ _c"></span>r<span class="_ _c"></span>el<span class="_ _c"></span><span class="ls3">arger<span class="_ _4"> </span>than<span class="_ _9"> </span>the<span class="_ _4"> </span>upside<span class="_ _4"> </span>spillover<span class="_ _4"> </span>effects<span class="_ _9"> </span>for<span class="_ _4"> </span>most<span class="_ _9"> </span>countries</span></div><div class="t m0 x7 ha y18 ff1 fs7 fc0 sc0 ls3 ws0">before<span class="_ _9"> </span>crisis<span class="_ _9"> </span>onset<span class="_ _9"> </span>and<span class="_ _9"> </span>for<span class="_ _9"> </span>all<span class="_ _9"> </span>countries<span class="_ _9"> </span>after<span class="_ _4"> </span>crisis<span class="_ _9"> </span>onset;<span class="_ _9"> </span>and<span class="_ _9"> </span>(3)<span class="_ _9"> </span>small<span class="_ _9"> </span>posit<span class="lsa">ive<span class="_ _9"> </span>and<span class="_ _9"> </span>nega<span class="_ _a"></span>tive<span class="_ _9"> </span>oil<span class="_ _9"> </span>price<span class="_ _9"> </span>movements</span></div><div class="t m0 x7 ha y19 ff1 fs7 fc0 sc0 ls6 ws0">had<span class="_ _9"> </span>no<span class="_ _9"> </span>impact<span class="_ _9"> </span>on<span class="_ _9"> </span>any<span class="_ _9"> </span>stock<span class="_ _9"> </span>return<span class="_ _9"> </span>quantiles<span class="_ _9"> </span>neither<span class="_ _9"> </span>before<span class="_ _9"> </span>nor<span class="_ _9"> </span>after<span class="_ _9"> </span>crisis<span class="_ _9"> </span>onset.</div><div class="t m0 x8 ha y1a ff1 fs7 fc0 sc0 ls0 ws0">&#169;<span class="_ _9"> </span>20<span class="_ _0"></span>15<span class="_ _4"> </span>Elsev<span class="_ _8"></span>ier<span class="_ _9"> </span>B.V<span class="_ _8"></span>.<span class="_ _9"> </span>All<span class="_ _4"> </span>right<span class="_ _8"></span>s<span class="_ _9"> </span>reserv<span class="_ _8"></span>ed.</div><div class="t m0 x1 h7 y1b ff3 fs5 fc0 sc0 ls0 ws0">JEL<span class="_ _5"> </span>classi<span class="_ _8"></span><span class="ff7">&#64257;<span class="ff3">cati<span class="_ _8"></span>on:</span></span></div><div class="t m0 x1 h9 y1c ff1 fs5 fc0 sc0 ls0 ws0">C22</div><div class="t m0 x1 h9 y1d ff1 fs5 fc0 sc0 ls0 ws0">C58</div><div class="t m0 x1 h9 y1e ff1 fs5 fc0 sc0 ls0 ws0">G12</div><div class="t m0 x1 h9 y1f ff1 fs5 fc0 sc0 ls0 ws0">Q40</div><div class="t m0 x1 h9 y20 ff1 fs5 fc0 sc0 ls0 ws0">Q43</div><div class="t m0 x1 h7 y21 ff3 fs5 fc0 sc0 lsb ws0">Keywords:</div><div class="t m0 x1 h9 y22 ff1 fs5 fc0 sc0 ls0 ws0">Oil<span class="_ _5"> </span>price<span class="_ _8"></span>s</div><div class="t m0 x1 h9 y23 ff1 fs5 fc0 sc0 ls0 ws0">Stoc<span class="_ _8"></span>k<span class="_ _4"> </span>retur<span class="_ _0"></span>ns</div><div class="t m0 x1 h9 y24 ff1 fs5 fc0 sc0 ls0 ws0">Quan<span class="_ _8"></span>tile</div><div class="t m0 x1 h9 y25 ff1 fs5 fc0 sc0 ls0 ws0">Copu<span class="_ _8"></span>la</div><div class="t m0 x1 hb y26 ff8 fs8 fc0 sc0 ls0 ws0">1.<span class="_ _9"> </span>Int<span class="_ _8"></span>roduct<span class="_ _8"></span>ion</div><div class="t m0 x9 hc y27 ff1 fs8 fc0 sc0 ls0 ws0">The<span class="_ _9"> </span>effect<span class="_ _9"> </span>of<span class="_ _9"> </span>crude<span class="_ _9"> </span>oil<span class="_ _b"> </span>pric<span class="_ _8"></span>e<span class="_ _b"> </span>moveme<span class="_ _8"></span>nts<span class="_ _b"> </span>on<span class="_ _9"> </span>equity<span class="_ _9"> </span>retu<span class="_ _8"></span>rns<span class="_ _b"> </span>has<span class="_ _9"> </span>long</div><div class="t m0 x1 hc y28 ff1 fs8 fc0 sc0 ls0 ws0">bee<span class="_ _0"></span>n<span class="_ _b"> </span>unde<span class="_ _8"></span>r<span class="_ _b"> </span>scruti<span class="_ _8"></span>ny<span class="_ _b"> </span>by<span class="_ _9"> </span>investo<span class="_ _8"></span>rs,<span class="_ _b"> </span>pol<span class="_ _8"></span>icy<span class="_ _b"> </span>make<span class="_ _8"></span>rs<span class="_ _b"> </span>and<span class="_ _9"> </span>resear<span class="_ _8"></span>chers<span class="_ _9"> </span>alik<span class="_ _0"></span>e.</div><div class="t m0 x1 hc y29 ff1 fs8 fc0 sc0 ls0 ws0">The<span class="_ _8"></span>oreti<span class="_ _8"></span>cally,<span class="_ _9"> </span>high<span class="_ _8"></span>er<span class="_ _9"> </span>oil<span class="_ _b"> </span>pri<span class="_ _8"></span>ces<span class="_ _9"> </span>lead<span class="_ _9"> </span>to<span class="_ _b"> </span>hig<span class="_ _8"></span>her<span class="_ _b"> </span>in<span class="ff6">&#64258;<span class="_ _8"></span><span class="ff1 lsc">at<span class="_ _a"></span>ion<span class="_ _b"> </span>r<span class="_ _a"></span>ates,<span class="_ _b"> </span>lower<span class="_ _2"> </span>real</span></span></div><div class="t m0 x1 hc y2a ff1 fs8 fc0 sc0 lsd ws0">consumption<span class="_ _9"> </span>and<span class="_ _b"> </span>higher<span class="_ _9"> </span>productio<span class="_ _a"></span>n<span class="_ _9"> </span>costs,<span class="_ _b"> </span>all<span class="_ _9"> </span>of<span class="_ _9"> </span>which<span class="_ _b"> </span>ultimately<span class="_ _b"> </span>impact</div><div class="t m0 x1 hc y2b ff1 fs8 fc0 sc0 lse ws0">stock<span class="_ _b"> </span>prices.<span class="_ _b"> </span>However,<span class="_ _b"> </span>st<span class="_ _a"></span>ock<span class="_ _b"> </span>price<span class="_ _b"> </span>reactions<span class="_ _b"> </span>to<span class="_ _b"> </span>oi<span class="_ _a"></span>l<span class="_ _b"> </span>price<span class="_ _b"> </span>changes<span class="_ _b"> </span>may<span class="_ _b"> </span>be</div><div class="t m0 x1 hc y2c ff1 fs8 fc0 sc0 ls0 ws0">comple<span class="_ _8"></span>x;<span class="_ _3"> </span>the<span class="_ _2"> </span>stock<span class="_ _2"> </span>market<span class="_ _b"> </span>may<span class="_ _2"> </span>react<span class="_ _2"> </span>asymmetrical<span class="_ _8"></span>ly<span class="_ _2"> </span>to<span class="_ _3"> </span>the<span class="_ _2"> </span>size<span class="_ _2"> </span>and</div><div class="t m0 x1 hc y2d ff1 fs8 fc0 sc0 ls0 ws0">sign<span class="_ _9"> </span>of<span class="_ _b"> </span>oil<span class="_ _9"> </span>price<span class="_ _9"> </span>shocks<span class="_ _9"> </span>and<span class="_ _b"> </span>mark<span class="_ _0"></span>et<span class="_ _9"> </span>reaction<span class="_ _8"></span>s<span class="_ _b"> </span>may<span class="_ _b"> </span>diffe<span class="_ _8"></span>r<span class="_ _2"> </span>depe<span class="_ _8"></span>nding<span class="_ _9"> </span>on</div><div class="t m0 x1 hc y2e ff1 fs8 fc0 sc0 ls0 ws0">whethe<span class="_ _8"></span>r<span class="_ _b"> </span>a<span class="_ _b"> </span>market<span class="_ _9"> </span>is<span class="_ _b"> </span>bullish<span class="_ _9"> </span>or<span class="_ _b"> </span>bearish<span class="_ _8"></span>.<span class="_ _2"> </span>In<span class="_ _b"> </span>recent<span class="_ _9"> </span>years,<span class="_ _9"> </span>oil<span class="_ _9"> </span>prices<span class="_ _b"> </span>have</div><div class="t m0 x1 hc y2f ff1 fs8 fc0 sc0 lsd ws0">swung<span class="_ _4"> </span>up<span class="_ _4"> </span>and<span class="_ _4"> </span>down<span class="_ _4"> </span>with<span class="_ _4"> </span>diffe<span class="_ _a"></span>rent<span class="_ _4"> </span>intensities<span class="_ _9"> </span>over<span class="_ _4"> </span>relatively<span class="_ _4"> </span>brie<span class="_ _a"></span>f<span class="_ _4"> </span>periods</div><div class="t m0 x1 hc y30 ff1 fs8 fc0 sc0 lsf ws0">of<span class="_ _b"> </span>time,<span class="_ _9"> </span>inducing<span class="_ _b"> </span>reactions<span class="_ _b"> </span>from<span class="_ _b"> </span>stock<span class="_ _b"> </span>markets<span class="_ _b"> </span>that<span class="_ _b"> </span>have<span class="_ _9"> </span>puzzled<span class="_ _b"> </span>inves-</div><div class="t m0 x1 hc y31 ff1 fs8 fc0 sc0 ls0 ws0">tors.<span class="_ _2"> </span>Given<span class="_ _2"> </span>that<span class="_ _2"> </span>the<span class="_ _3"> </span>effect<span class="_ _2"> </span>of<span class="_ _3"> </span>oil<span class="_ _3"> </span>price<span class="_ _2"> </span>shocks<span class="_ _2"> </span>may<span class="_ _2"> </span>differ<span class="_ _2"> </span>according<span class="_ _2"> </span>to</div><div class="t m0 x1 hc y32 ff1 fs8 fc0 sc0 ls0 ws0">stock<span class="_ _2"> </span>market<span class="_ _b"> </span>condition<span class="_ _0"></span>s<span class="_ _2"> </span>and<span class="_ _3"> </span>the<span class="_ _2"> </span>size<span class="_ _2"> </span>of<span class="_ _3"> </span>the<span class="_ _2"> </span>oil<span class="_ _2"> </span>shock,<span class="_ _2"> </span>we<span class="_ _3"> </span>investiga<span class="_ _8"></span>te</div><div class="t m0 x1 hc y33 ff1 fs8 fc0 sc0 lsd ws0">how<span class="_ _9"> </span>oi<span class="_ _a"></span>l<span class="_ _9"> </span>price<span class="_ _b"> </span>changes<span class="_ _b"> </span>in<span class="ff6 ls0">&#64258;</span><span class="ls10">uence<span class="_ _9"> </span>equity<span class="_ _b"> </span>returns<span class="_ _b"> </span>by<span class="_ _9"> </span>conside<span class="_ _a"></span>ring<span class="_ _9"> </span>the<span class="_ _b"> </span>effects</span></div><div class="t m0 x1 hc y34 ff1 fs8 fc0 sc0 ls0 ws0">of<span class="_ _9"> </span>oil<span class="_ _9"> </span>price<span class="_ _9"> </span>upper<span class="_ _9"> </span>and<span class="_ _9"> </span>lower<span class="_ _9"> </span>quan<span class="_ _8"></span>tile<span class="_ _9"> </span>and<span class="_ _9"> </span>interq<span class="_ _8"></span>uanti<span class="_ _8"></span>le<span class="_ _b"> </span>movem<span class="_ _8"></span>ents<span class="_ _9"> </span>on</div><div class="t m0 x1 hc y35 ff1 fs8 fc0 sc0 ls11 ws0">stock<span class="_ _9"> </span>price<span class="_ _b"> </span>quantiles.</div><div class="t m0 x9 hc y36 ff1 fs8 fc0 sc0 ls0 ws0">Alth<span class="_ _8"></span>ough<span class="_ _9"> </span>there<span class="_ _9"> </span>is<span class="_ _b"> </span>abun<span class="_ _8"></span>dant<span class="_ _9"> </span>empirica<span class="_ _8"></span>l<span class="_ _b"> </span>litera<span class="_ _8"></span>ture<span class="_ _9"> </span>on<span class="_ _b"> </span>the<span class="_ _9"> </span>in<span class="ff6">&#64258;</span>ue<span class="_ _8"></span>nce<span class="_ _b"> </span>of</div><div class="t m0 x1 hc y37 ff1 fs8 fc0 sc0 ls0 ws0">oil<span class="_ _5"> </span>on<span class="_ _5"> </span>st<span class="_ _8"></span>ock<span class="_ _5"> </span>mark<span class="_ _8"></span>et<span class="_ _5"> </span>retu<span class="_ _8"></span>rns,<span class="_ _5"> </span>ther<span class="_ _8"></span>e<span class="_ _5"> </span>is<span class="_ _5"> </span>no<span class="_ _5"> </span>empi<span class="_ _0"></span>rica<span class="_ _8"></span>l<span class="_ _5"> </span>conse<span class="_ _8"></span>nsus<span class="_ _5"> </span>as<span class="_ _5"> </span>to<span class="_ _5"> </span>whe<span class="_ _8"></span>th-</div><div class="t m0 x1 hc y38 ff1 fs8 fc0 sc0 ls0 ws0">er<span class="_ _9"> </span>an<span class="_ _9"> </span>oil<span class="_ _b"> </span>pric<span class="_ _8"></span>e<span class="_ _b"> </span>shock<span class="_ _9"> </span>has<span class="_ _9"> </span>a<span class="_ _9"> </span>positi<span class="_ _8"></span>ve,<span class="_ _b"> </span>nega<span class="_ _8"></span>tive<span class="_ _9"> </span>or<span class="_ _b"> </span>insig<span class="_ _8"></span>ni<span class="ff6">&#64257;</span>ca<span class="_ _8"></span>nt<span class="_ _b"> </span>impact<span class="_ _9"> </span>on</div><div class="t m0 xa hc y39 ff1 fs8 fc0 sc0 ls0 ws0">equi<span class="_ _8"></span>ty<span class="_ _9"> </span>re<span class="_ _8"></span>turns<span class="_ _8"></span>.<span class="_ _9"> </span>One<span class="_ _4"> </span>stran<span class="_ _8"></span>d<span class="_ _9"> </span>of<span class="_ _4"> </span>the<span class="_ _9"> </span>li<span class="_ _8"></span>terat<span class="_ _8"></span>ure<span class="_ _9"> </span>fo<span class="_ _8"></span>und<span class="_ _9"> </span>tha<span class="_ _8"></span>t<span class="_ _9"> </span>sur<span class="_ _0"></span>ging<span class="_ _5"> </span>oil<span class="_ _9"> </span>pr<span class="_ _8"></span>ices</div><div class="t m0 xa hc y3a ff1 fs8 fc0 sc0 ls0 ws0">had<span class="_ _2"> </span>a<span class="_ _b"> </span>n<span class="_"> </span>eg<span class="_ _a"></span>ative<span class="_ _2"> </span>im<span class="_ _a"></span>pact<span class="_ _2"> </span>on<span class="_ _2"> </span>retu<span class="_ _a"></span>rns<span class="_ _2"> </span>for<span class="_ _2"> </span>the<span class="_ _2"> </span>aggr<span class="_ _a"></span>ega<span class="_ _a"></span>te<span class="_ _2"> </span>or<span class="_ _b"> </span>se<span class="_ _a"></span>ctora<span class="_ _a"></span>l<span class="_ _2"> </span>stock</div><div class="t m0 xa hc y3b ff1 fs8 fc0 sc0 ls0 ws0">marke<span class="_ _a"></span>ts<span class="_ _e"> </span>(see<span class="_ _e"> </span><span class="fc1">Jo<span class="_ _a"></span>nes<span class="_ _e"> </span>and<span class="_ _e"> </span>Kaul<span class="_ _a"></span>,<span class="_ _e"> </span>199<span class="_"> </span>6;<span class="_ _e"> </span>B<span class="_ _a"></span>ashe<span class="_ _a"></span>r<span class="_ _e"> </span>and<span class="_ _e"> </span>Sado<span class="_"> </span>rs<span class="_ _a"></span>ky,<span class="_ _e"> </span>2<span class="_"> </span>006<span class="_ _a"></span>;</span></div><div class="t m0 xa hc y3c ff1 fs8 fc1 sc0 ls0 ws0">Hamm<span class="_ _8"></span>oudeh<span class="_ _9"> </span>and<span class="_ _9"> </span>Choi,<span class="_ _9"> </span>2007;<span class="_ _9"> </span>Nandha<span class="_ _9"> </span>and<span class="_ _9"> </span>Haff,<span class="_ _9"> </span>2008;<span class="_ _9"> </span>Kilian<span class="_ _9"> </span>and<span class="_ _9"> </span>Park,</div><div class="t m0 xa hc y3d ff1 fs8 fc1 sc0 ls12 ws0">2009;<span class="_ _4"> </span>Sa<span class="_ _a"></span>dorsky,<span class="_ _4"> </span>1999<span class="fc0 ls0">;<span class="_ _4"> </span>amo<span class="_ _8"></span>ng<span class="_ _4"> </span>othe<span class="_ _8"></span>rs),<span class="_ _5"> </span>whe<span class="_ _8"></span>reas<span class="_ _5"> </span>an<span class="_ _8"></span>other<span class="_ _5"> </span>st<span class="_ _8"></span>rand<span class="_ _5"> </span>of<span class="_ _5"> </span>the<span class="_ _5"> </span>li<span class="_ _8"></span>t-</span></div><div class="t m0 xa hc y3e ff1 fs8 fc0 sc0 ls0 ws0">erature<span class="_ _9"> </span>found<span class="_ _9"> </span>no<span class="_ _b"> </span>signi<span class="ff6">&#64257;</span>can<span class="_ _0"></span>t<span class="_ _b"> </span>relation<span class="_ _8"></span>ship<span class="_ _b"> </span>between<span class="_ _9"> </span>oil<span class="_ _b"> </span>prices<span class="_ _9"> </span>and<span class="_ _b"> </span>stock</div><div class="t m0 xa hc y3f ff1 fs8 fc0 sc0 ls0 ws0">returns<span class="_ _b"> </span>(see,<span class="_ _b"> </span>e.g.,<span class="_ _2"> </span><span class="fc1">Huang,<span class="_ _b"> </span>et<span class="_ _b"> </span>al.,<span class="_ _2"> </span>1996;<span class="_ _b"> </span>Henriques<span class="_ _b"> </span>and<span class="_ _b"> </span>Sadorsky,<span class="_ _2"> </span>2008;</span></div><div class="t m0 xa hc y40 ff1 fs8 fc1 sc0 ls0 ws0">Apergi<span class="_ _a"></span>s<span class="_ _f"> </span>and<span class="_ _f"> </span>Mill<span class="_ _a"></span>er,<span class="_ _f"> </span>200<span class="_ _a"></span>9;<span class="_ _f"> </span>Sukc<span class="_ _a"></span>haroe<span class="_ _a"></span>n<span class="_ _f"> </span>et<span class="_ _f"> </span>al.,<span class="_ _f"> </span>2014<span class="_ _a"></span><span class="fc0">).<span class="_ _f"> </span>Fu<span class="_"> </span>rt<span class="_ _a"></span>her<span class="_ _f"> </span>stu<span class="_ _a"></span>die<span class="_"> </span>s</span></div><div class="t m0 xa hc y41 ff1 fs8 fc0 sc0 ls0 ws0">hav<span class="_ _8"></span>e<span class="_ _4"> </span>repor<span class="_ _8"></span>ted<span class="_ _5"> </span>tha<span class="_ _8"></span>t<span class="_ _4"> </span>the<span class="_ _5"> </span>oil-<span class="_ _0"></span>sto<span class="_ _8"></span>ck<span class="_ _4"> </span>rel<span class="_ _8"></span>ations<span class="_ _8"></span>hip<span class="_ _5"> </span>was<span class="_ _5"> </span>time<span class="_ _8"></span>-var<span class="_ _8"></span>ying<span class="_ _5"> </span>and<span class="_ _5"> </span>non-</div><div class="t m0 xa hc y42 ff1 fs8 fc0 sc0 ls0 ws0">line<span class="_ _8"></span>ar<span class="_ _b"> </span>and<span class="_ _9"> </span>coul<span class="_ _8"></span>d<span class="_ _b"> </span>change<span class="_ _4"> </span>to<span class="_ _b"> </span>re<span class="ff6">&#64258;</span>ec<span class="_ _8"></span>t<span class="_ _b"> </span>spec<span class="_ _8"></span>i<span class="ff6">&#64257;</span>c<span class="_ _b"> </span>event<span class="_ _8"></span>s<span class="_ _9"> </span>like<span class="_ _9"> </span>the<span class="_ _9"> </span>recent<span class="_ _9"> </span>globa<span class="_ _8"></span>l</div><div class="t m0 xa hc y43 ff6 fs8 fc0 sc0 ls0 ws0">&#64257;<span class="ff1">nan<span class="_ _8"></span>cial<span class="_ _b"> </span>crisis<span class="_ _9"> </span>(see,<span class="_ _9"> </span>e.g.,<span class="_ _9"> </span><span class="fc1">Miller<span class="_ _9"> </span>and<span class="_ _9"> </span>Ratti,<span class="_ _9"> </span>2009<span class="_ _0"></span>;<span class="_ _9"> </span>Reboredo,<span class="_ _9"> </span>2010;<span class="_ _9"> </span>Filips</span></span></div><div class="t m0 xa hc y44 ff1 fs8 fc1 sc0 ls0 ws0">et<span class="_ _b"> </span>al.,<span class="_ _2"> </span>2011;<span class="_ _2"> </span>Daskalaki<span class="_ _2"> </span>and<span class="_ _2"> </span>Skiadopo<span class="_ _a"></span>ulos,<span class="_ _2"> </span>2011;<span class="_ _2"> </span>Chang<span class="_ _b"> </span>and<span class="_ _2"> </span>Yu,<span class="_ _2"> </span>2013;</div><div class="t m0 xa hc y45 ff1 fs8 fc1 sc0 ls0 ws0">Reb<span class="_ _8"></span>oredo<span class="_ _4"> </span>and<span class="_ _9"> </span>Riv<span class="_ _8"></span>era-C<span class="_ _8"></span>astr<span class="_ _0"></span>o,<span class="_ _9"> </span>201<span class="_ _8"></span>4;<span class="_ _9"> </span>Zhan<span class="_ _8"></span>g<span class="_ _b"> </span>and<span class="_ _4"> </span>Li,<span class="_ _9"> </span>2014<span class="_ _8"></span><span class="fc0">).<span class="_ _9"> </span>All<span class="_ _9"> </span>the<span class="_ _8"></span>se<span class="_ _9"> </span>stud-</span></div><div class="t m0 xa hc y46 ff1 fs8 fc0 sc0 ls0 ws0">ies<span class="_ _9"> </span>anal<span class="_ _8"></span>yze<span class="_ _9"> </span>the<span class="_ _9"> </span>linea<span class="_ _8"></span>r<span class="_ _b"> </span>or<span class="_ _9"> </span>nonli<span class="_ _8"></span>near<span class="_ _9"> </span>impact<span class="_ _4"> </span>of<span class="_ _b"> </span>oil<span class="_ _9"> </span>pri<span class="_ _8"></span>ce<span class="_ _b"> </span>chan<span class="_ _8"></span>ges<span class="_ _9"> </span>on<span class="_ _9"> </span>stock</div><div class="t m0 xa hc y47 ff1 fs8 fc0 sc0 ls13 ws0">returns,<span class="_ _b"> </span>yet<span class="_ _b"> </span>little<span class="_ _b"> </span>is<span class="_ _b"> </span>known<span class="_ _b"> </span>regardin<span class="_ _a"></span>g<span class="_ _9"> </span>h<span class="_ _a"></span>ow<span class="_ _9"> </span>la<span class="_ _a"></span>rge<span class="_ _9"> </span>p<span class="_ _a"></span>ositive<span class="_ _b"> </span>or<span class="_ _9"> </span>n<span class="_ _a"></span>egative<span class="_ _b"> </span>oil</div><div class="t m0 xa hc y48 ff1 fs8 fc0 sc0 ls0 ws0">pric<span class="_ _8"></span>e<span class="_ _b"> </span>movem<span class="_ _8"></span>ents<span class="_ _9"> </span>or<span class="_ _9"> </span>inter<span class="_ _8"></span>quanti<span class="_ _8"></span>le<span class="_ _b"> </span>oil<span class="_ _9"> </span>pri<span class="_ _8"></span>ce<span class="_ _b"> </span>move<span class="_ _8"></span>ments<span class="_ _9"> </span>may<span class="_ _9"> </span>imp<span class="_ _8"></span>act<span class="_ _9"> </span>on</div><div class="t m0 xa hc y49 ff1 fs8 fc0 sc0 ls0 ws0">differ<span class="_ _a"></span>ent<span class="_ _1"> </span>equity<span class="_ _1"> </span>re<span class="_"> </span>tu<span class="_ _a"></span>rn<span class="_ _1"> </span>quanti<span class="_ _a"></span>les.<span class="_ _1"> </span>A<span class="_ _1"> </span>recent<span class="_ _1"> </span>stud<span class="_ _a"></span>y<span class="_ _1"> </span>by<span class="_ _f"> </span><span class="fc1">Si<span class="_ _a"></span>m<span class="_ _1"> </span>and<span class="_ _1"> </span>Zhou</span></div><div class="t m0 xa hc y4a ff1 fs8 fc1 sc0 ls0 ws0">(201<span class="_ _8"></span>5)<span class="_ _9"> </span><span class="fc0 ls13">wa<span class="_ _a"></span>s<span class="_ _b"> </span>the<span class="_ _b"> </span><span class="ff6 ls0">&#64257;<span class="ff1">rs<span class="_ _8"></span>t<span class="_ _b"> </span>to<span class="_ _9"> </span>use<span class="_ _9"> </span>a<span class="_ _b"> </span>qua<span class="_ _8"></span>ntile<span class="_ _0"></span>-on-<span class="_ _8"></span>quant<span class="_ _8"></span>ile<span class="_ _9"> </span>regres<span class="_ _8"></span>sion<span class="_ _9"> </span>appr<span class="_ _8"></span>oach</span></span></span></div><div class="t m0 xa hc y4b ff1 fs8 fc0 sc0 ls0 ws0">to<span class="_ _b"> </span>es<span class="_ _a"></span>timate<span class="_ _2"> </span>th<span class="_ _a"></span>e<span class="_ _b"> </span>ef<span class="_ _a"></span>fect<span class="_ _2"> </span>of<span class="_ _2"> </span>oil<span class="_ _2"> </span>pric<span class="_ _a"></span>e<span class="_ _b"> </span>sh<span class="_ _a"></span>ock<span class="_ _b"> </span>qu<span class="_ _a"></span>anti<span class="_ _a"></span>les<span class="_ _2"> </span>on<span class="_ _b"> </span>U<span class="_ _a"></span>S<span class="_ _b"> </span>sto<span class="_ _a"></span>ck<span class="_ _2"> </span>return</div><div class="t m0 xa hc y4c ff1 fs8 fc0 sc0 ls0 ws0">quan<span class="_ _8"></span>tile<span class="_ _8"></span>s.<span class="_ _4"> </span>Our<span class="_ _4"> </span>pap<span class="_ _8"></span>er,<span class="_ _4"> </span>foll<span class="_ _8"></span>owing<span class="_ _5"> </span>along<span class="_ _5"> </span>these<span class="_ _5"> </span>line<span class="_ _8"></span>s,<span class="_ _4"> </span>cont<span class="_ _8"></span>ribut<span class="_ _8"></span>es<span class="_ _4"> </span>to<span class="_ _4"> </span>the<span class="_ _4"> </span>cur-</div><div class="t m0 xa hc y4d ff1 fs8 fc0 sc0 ls0 ws0">rent<span class="_ _4"> </span>lite<span class="_ _8"></span>ratur<span class="_ _8"></span>e<span class="_ _b"> </span>on<span class="_ _9"> </span>the<span class="_ _9"> </span>oi<span class="_ _8"></span>l-sto<span class="_ _0"></span>ck<span class="_ _9"> </span>ret<span class="_ _8"></span>urn<span class="_ _9"> </span>relat<span class="_ _8"></span>ion<span class="_ _8"></span>ship<span class="_ _9"> </span>alon<span class="_ _8"></span>g<span class="_ _b"> </span>tw<span class="_ _0"></span>o<span class="_ _9"> </span>axes<span class="_ _8"></span>.</div><div class="t m0 xb hc y4e ff1 fs8 fc0 sc0 ls14 ws0">First,<span class="_ _4"> </span>we<span class="_ _9"> </span>characterize<span class="_ _4"> </span>the<span class="_ _4"> </span>b<span class="_ _a"></span>ivariate<span class="_ _4"> </span><span class="ls15">dependence<span class="_ _4"> </span>structure<span class="_ _4"> </span>between<span class="_ _4"> </span>oil</span></div><div class="t m0 xa hc y4f ff1 fs8 fc0 sc0 ls16 ws0">and<span class="_ _9"> </span>stock<span class="_ _9"> </span>returns<span class="_ _9"> </span>through<span class="_ _b"> </span>copulas.<span class="_ _9"> </span>From<span class="_ _9"> </span>these<span class="_ _b"> </span>copulas<span class="_ _9"> </span>we<span class="_ _9"> </span>can<span class="_ _b"> </span>compute</div><div class="t m0 xa hc y50 ff1 fs8 fc0 sc0 ls17 ws0">the<span class="_ _9"> </span>stock<span class="_ _9"> </span>return<span class="_ _b"> </span>quantile<span class="_ _9"> </span>conditional<span class="_ _9"> </span>on<span class="_ _9"> </span>a<span class="_ _b"> </span>large<span class="_ _b"> </span>positive<span class="_ _9"> </span>(high<span class="_ _9"> </span>quantile)</div><div class="t m0 xa hc y51 ff1 fs8 fc0 sc0 ls0 ws0">or<span class="_ _f"> </span>negative<span class="_ _3"> </span>(low<span class="_ _f"> </span>quantile)<span class="_ _f"> </span>oil<span class="_ _f"> </span>price<span class="_ _f"> </span>movement<span class="_ _f"> </span>and<span class="_ _f"> </span>can<span class="_ _f"> </span>then<span class="_ _f"> </span>assess</div><div class="t m0 xc h9 y52 ff1 fs5 fc1 sc0 ls0 ws0">Ener<span class="_ _8"></span>gy<span class="_ _4"> </span>Econo<span class="_ _8"></span>mics<span class="_ _5"> </span>54<span class="_ _4"> </span>(2016<span class="_ _8"></span>)<span class="_ _4"> </span>33<span class="ff2">&#8211;</span>49</div><div class="t m0 xd h9 y53 ff2 fs5 fc0 sc0 ls0 ws0">&#8270;<span class="_ _10"> </span><span class="ff1">Corr<span class="_ _8"></span>espo<span class="_ _8"></span>nding<span class="_ _5"> </span>autho<span class="_ _8"></span>r<span class="_ _5"> </span>at:<span class="_ _5"> </span>Unive<span class="_ _8"></span>rsidad<span class="_ _8"></span>e<span class="_ _4"> </span>de<span class="_ _5"> </span>Santia<span class="_ _8"></span>go<span class="_ _5"> </span>de<span class="_ _5"> </span>Compo<span class="_ _8"></span>stela<span class="_ _0"></span>,<span class="_ _5"> </span>Depar<span class="_ _8"></span>tament<span class="_ _8"></span>o<span class="_ _4"> </span>de</span></div><div class="t m0 x1 h9 y54 ff1 fs5 fc0 sc0 ls18 ws0">Fundamentos<span class="_ _1"> </span>del<span class="_ _1"> </span>An&#225;lisis<span class="_ _10"> </span>Eco<span class="_ _0"></span>n&#243;mico,<span class="_ _1"> </span>Avda.<span class="_ _1"> </span>Xo&#225;n<span class="_ _10"> </span>XXIII,<span class="_ _1"> </span>s/n,<span class="_ _1"> </span>15782<span class="_ _1"> </span>Santiago<span class="_ _1"> </span>d<span class="_"> </span>e</div><div class="t m0 x1 h9 y55 ff1 fs5 fc0 sc0 ls0 ws0">Com<span class="_ _8"></span>postela<span class="_ _8"></span>,<span class="_ _4"> </span>Spain<span class="_ _8"></span>.<span class="_ _9"> </span>Tel<span class="_ _8"></span>.:<span class="_ _4"> </span>+<span class="_ _11"></span>34<span class="_ _5"> </span>8818116<span class="_ _8"></span>75;<span class="_ _5"> </span>fax:<span class="_ _4"> </span>+<span class="_ _a"></span>34<span class="_ _4"> </span>98154<span class="_ _8"></span>7134.</div><div class="t m0 x9 h9 y56 ff3 fs5 fc0 sc0 ls0 ws0">E-m<span class="_ _8"></span>ail<span class="_ _4"> </span>addre<span class="_ _8"></span>ss:<span class="_ _4"> </span><span class="ff1 fc1">juan<span class="_ _8"></span>carlo<span class="_ _8"></span>s.reb<span class="_ _8"></span>oredo<span class="_ _8"></span>@usc.e<span class="_ _8"></span>s<span class="_ _9"> </span><span class="fc0">(J.<span class="_ _8"></span>C.<span class="_ _4"> </span>Rebor<span class="_ _8"></span>edo)<span class="_ _8"></span>.</span></span></div><div class="t m0 x1 h9 y57 ff1 fs5 fc1 sc0 ls0 ws0">htt<span class="_ _8"></span>p://dx<span class="_ _8"></span>.doi.<span class="_ _8"></span>org/10<span class="_ _8"></span>.1016<span class="_ _8"></span>/j.en<span class="_ _8"></span>eco.20<span class="_ _8"></span>15.11.<span class="_ _8"></span>015</div><div class="t m0 x1 h9 y58 ff1 fs5 fc0 sc0 ls0 ws0">0140<span class="_ _8"></span>-9883<span class="_ _8"></span>/&#169;<span class="_ _4"> </span>2015<span class="_ _5"> </span>Elsev<span class="_ _8"></span>ier<span class="_ _4"> </span>B.V.<span class="_ _5"> </span>All<span class="_ _5"> </span>right<span class="_ _8"></span>s<span class="_ _9"> </span>res<span class="_ _8"></span>erved.</div><div class="t m0 xe hd y59 ff9 fs8 fc0 sc0 ls0 ws0">Cont<span class="_ _8"></span>ents<span class="_ _4"> </span>lists<span class="_ _9"> </span>av<span class="_ _8"></span>ailabl<span class="_ _8"></span>e<span class="_ _9"> </span>at<span class="_ _9"> </span><span class="fc1">Scienc<span class="_ _8"></span>eDir<span class="_ _8"></span>ect</span></div><div class="t m0 xf he y5a ff1 fs9 fc0 sc0 ls0 ws0">Ene<span class="_ _8"></span>rgy<span class="_ _10"> </span>Eco<span class="_ _8"></span>nomic<span class="_ _8"></span>s</div><div class="t m0 x10 hd y5b ff9 fs8 fc0 sc0 ls19 ws0">journal<span class="_ _9"> </span>homepage:<span class="_ _b"> </span><span class="fc1 ls1a">www.elsevier.com/locate/eneeco</span></div><a class="l" rel='nofollow' onclick='return false;'><div class="d m3"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m3"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m3"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d m3"></div></a><a class="l" rel='nofollow' onclick='return false;'><div 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