Hedging strategies among financial markets: the case of green and brown assets.

Recognizing the growing importance of the green energy market-renewable energy stocks and bonds-and its classification as a viable financial asset, this paper examines hedging strategies with brown market instruments-gold, oil, bond and the composite S&P500-on the green energy markets. That is, we examine whether, and to what extent brown assets can provide a hedge for green assets, using variants of the multivariate GARCH framework (DCC, ADCC and GO-GARCH). Our dataset spans the period 01/12/2008 to 30/09/2021.