{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,27]],"date-time":"2026-05-27T19:24:03Z","timestamp":1779909843398,"version":"3.53.1"},"reference-count":38,"publisher":"The Econometric Society","issue":"1","license":[{"start":{"date-parts":[[2022,1,1]],"date-time":"2022-01-01T00:00:00Z","timestamp":1640995200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by-nc\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100000923","name":"Australian Research Council","doi-asserted-by":"publisher","id":[{"id":"10.13039\/501100000923","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100012300","name":"Cooperative Research Centre for Water Sensitive Cities","doi-asserted-by":"publisher","id":[{"id":"10.13039\/100012300","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["QE"],"abstract":"<jats:p>A multivariate GARCH model of natural resources is specified to capture the effects of time varying portfolio risk. A special feature of the model is the inclusion of realized volatility for natural resource assets that are available at multiple frequencies as well as being sensitive to sudden changes in climatic conditions. Natural resource portfolios under climate change are simulated from bootstrapping schemes as well as being derived from global climate model projections. Both approaches are applied to a multiasset water portfolio model consisting of reservoir inflows, rainwater harvesting, and desalinated water. The empirical results show that while reservoirs remain the dominant water asset, adaptation to climate change involves increased contributions from rainwater harvesting and more frequent use of desalinated water. It is estimated that climate change increases annual water supply costs by between 7% and 44% over a 20\u2010year forecast horizon.<\/jats:p>","DOI":"10.3982\/qe1597","type":"journal-article","created":{"date-parts":[[2022,1,21]],"date-time":"2022-01-21T13:51:47Z","timestamp":1642773107000},"page":"225-257","source":"Crossref","is-referenced-by-count":4,"title":["Modeling time varying risk of natural resource assets: Implications of climate change"],"prefix":"10.3982","volume":"13","author":[{"given":"Anke D.","family":"Leroux","sequence":"first","affiliation":[{"name":"Department of Economics, Monash University"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Vance L.","family":"Martin","sequence":"additional","affiliation":[{"name":"Department of Economics, University of Melbourne"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Kathryn A.","family":"St. John","sequence":"additional","affiliation":[{"name":"Department of Economics, University of Melbourne"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2022]]},"reference":[{"key":"quan200178-bib-0001","unstructured":"ABS (2015), \u201cRegional population growth, Australia 2014\u201315.\u201d Retrieved from http:\/\/www.abs.gov.au\/AUSSTATS\/abs@.nsf\/mf\/3218.0."},{"issue":"3","key":"quan200178-bib-0002","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1007\/s40899-017-0093-8","volume":"3","author":"Ahammed","year":"2017","journal-title":"Sustainable Water Resources Management"},{"key":"quan200178-bib-0003","volume-title":"High-Frequency Financial Econometrics","author":"A\u00eft-Sahalia","year":"2014"},{"key":"quan200178-bib-0004","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1016\/S0304-405X(01)00055-1","volume":"61","author":"Andersen","year":"2001","journal-title":"Journal of Financial Economics"},{"issue":"2","key":"quan200178-bib-0005","doi-asserted-by":"crossref","first-page":"579","DOI":"10.1111\/1468-0262.00418","volume":"71","author":"Andersen","year":"2003","journal-title":"Econometrica"},{"issue":"17","key":"quan200178-bib-0006","doi-asserted-by":"crossref","first-page":"6484","DOI":"10.1073\/pnas.1114653109","volume":"109","author":"Ando","year":"2012","journal-title":"Proceedings of the National Academy of Sciences"},{"issue":"2","key":"quan200178-bib-0007","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1002\/jae.3950060202","volume":"6","author":"Baillie","year":"1991","journal-title":"Journal of Applied Econometrics"},{"key":"quan200178-bib-0008","doi-asserted-by":"crossref","first-page":"253","DOI":"10.1111\/1467-9868.00336","volume":"64","author":"Barndorff-Nielsen","year":"2002","journal-title":"Journal of the Royal Statistical Society B"},{"issue":"1","key":"quan200178-bib-0009","doi-asserted-by":"crossref","first-page":"79","DOI":"10.1002\/jae.842","volume":"21","author":"Bauwens","year":"2006","journal-title":"Journal of Applied Econometrics"},{"issue":"3","key":"quan200178-bib-0010","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"quan200178-bib-0011","doi-asserted-by":"crossref","first-page":"116","DOI":"10.1016\/j.jeconom.2019.04.023","volume":"210","author":"Bollerslev","year":"2019","journal-title":"Journal of Econometrics"},{"issue":"2","key":"quan200178-bib-0012","doi-asserted-by":"crossref","first-page":"411","DOI":"10.1016\/j.jeconom.2019.12.011","volume":"217","author":"Bollerslev","year":"2020","journal-title":"Journal of Econometrics"},{"key":"quan200178-bib-0013","doi-asserted-by":"crossref","first-page":"48","DOI":"10.1093\/rfs\/hhw060","volume":"30","author":"Brownlees","year":"2016","journal-title":"Review of Financial Studies"},{"key":"quan200178-bib-0014","volume":"98","author":"Duran Vinent","year":"2019","journal-title":"Journal of Environmental Economics and Management"},{"key":"quan200178-bib-0015","doi-asserted-by":"crossref","first-page":"237","DOI":"10.1088\/1469-7688\/1\/2\/305","volume":"1","author":"Engle","year":"2001","journal-title":"Quantitative Finance"},{"key":"quan200178-bib-0016","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"issue":"3","key":"quan200178-bib-0017","doi-asserted-by":"crossref","first-page":"339","DOI":"10.1198\/073500102288618487","volume":"20","author":"Engle","year":"2002","journal-title":"Journal of Business & Economic Statistics"},{"key":"quan200178-bib-0018","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.1111\/j.1540-6261.1993.tb05128.x","volume":"48","author":"Glosten","year":"1993","journal-title":"Journal of Finance"},{"key":"quan200178-bib-0019","doi-asserted-by":"crossref","first-page":"877","DOI":"10.1002\/jae.1234","volume":"27","author":"Hansen","year":"2012","journal-title":"Journal of Applied Econometrics"},{"key":"quan200178-bib-0020","doi-asserted-by":"crossref","first-page":"774","DOI":"10.1002\/jae.2389","volume":"29","author":"Hansen","year":"2012","journal-title":"Journal of Applied Econometrics"},{"issue":"3","key":"quan200178-bib-0021","doi-asserted-by":"crossref","first-page":"107","DOI":"10.5547\/ISSN0195-6574-EJ-Vol19-No3-6","volume":"19","author":"Humphreys","year":"1998","journal-title":"The Energy Journal"},{"key":"quan200178-bib-0022","doi-asserted-by":"crossref","unstructured":"Leroux, A. D., V. L. Martin, and K. A. St. John (2022), \u201cSupplement to \u2018Modeling time varying risk of natural resource assets: Implications of climate change\u2019.\u201d Quantitative Economics Supplemental Material, 13, https:\/\/doi.org\/10.3982\/QE1597.","DOI":"10.3982\/QE1597"},{"issue":"1","key":"quan200178-bib-0023","doi-asserted-by":"crossref","first-page":"276","DOI":"10.1093\/ajae\/aav014","volume":"98","author":"Leroux","year":"2016","journal-title":"American Journal of Agricultural Economics"},{"key":"quan200178-bib-0024","doi-asserted-by":"crossref","first-page":"42","DOI":"10.1016\/j.reseneeco.2018.02.004","volume":"53","author":"Leroux","year":"2018","journal-title":"Resource and Energy Economics"},{"key":"quan200178-bib-0025","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.reseneeco.2014.05.001","volume":"38","author":"Mallory","year":"2014","journal-title":"Resource and Energy Economics"},{"key":"quan200178-bib-0026","volume-title":"Econometric Modelling With Time Series: Specification, Estimation and Testing","author":"Martin","year":"2013"},{"key":"quan200178-bib-0027","unstructured":"Melbourne Water (2013), \u201cMelbourne water 2013 water plan.\u201d Melbourne Water, Melbourne, Australia."},{"key":"quan200178-bib-0028","unstructured":"Melbourne Water (2018), \u201cWater storage and use.\u201d URL: https:\/\/www.melbournewater.com.au\/water\/water-storage-and-use#\/, accessed 28 May 2018."},{"issue":"3","key":"quan200178-bib-0029","doi-asserted-by":"crossref","first-page":"247","DOI":"10.2307\/1926560","volume":"51","author":"Merton","year":"1969","journal-title":"Review of Economics and Statistics"},{"issue":"4","key":"quan200178-bib-0030","doi-asserted-by":"crossref","first-page":"373","DOI":"10.1016\/0022-0531(71)90038-X","volume":"3","author":"Merton","year":"1971","journal-title":"Journal of Economic Theory"},{"issue":"4","key":"quan200178-bib-0031","doi-asserted-by":"crossref","first-page":"1615","DOI":"10.5194\/hess-19-1615-2015","volume":"19","author":"Peel","year":"2015","journal-title":"Hydrology and Earth System Sciences"},{"key":"quan200178-bib-0032","unstructured":"Raupach, M. R., P. R. Briggs, V. Haverd, E. A. King, M. Paget, and C. M. Trudinger (2009), \u201cAustralian water availability project (AWAP). CSIRO marine and atmospheric research component: Final report for phase 3.\u201d CAWCR Technical Report No. 013. 67 pp."},{"key":"quan200178-bib-0033","unstructured":"Raupach, M. R., P. R. Briggs, V. Haverd, E. A. King, M. Paget, and C. M. Trudinger (2012), \u201cAustralian water availability project.\u201d CSIRO Marine and Atmospheric Research, Canberra, Australia, http:\/\/www.csiro.au\/awap."},{"issue":"3","key":"quan200178-bib-0034","doi-asserted-by":"crossref","first-page":"586","DOI":"10.1016\/j.ecolecon.2007.04.006","volume":"64","author":"Sanchirico","year":"2008","journal-title":"Ecological Economics"},{"issue":"4","key":"quan200178-bib-0035","doi-asserted-by":"crossref","first-page":"664","DOI":"10.3368\/le.91.4.664","volume":"91","author":"Shah","year":"2015","journal-title":"Land Economics"},{"key":"quan200178-bib-0036","unstructured":"Stocker, T. F., D. Qin, G. K. Plattner, M. M. Tignor, S. K. Allen, J. Boschung, A. Nauels, Y. Xia, V. Bex, and P. M. Midgley (2014), \u201cClimate change 2013: The physical science basis.\u201d Contribution of working group I to the fifth assessment report of IPCC the intergovernmental panel on climate change. Cambridge, U.K. and New York, USA."},{"issue":"3","key":"quan200178-bib-0037","doi-asserted-by":"crossref","first-page":"1109","DOI":"10.3982\/QE836","volume":"10","author":"Tischbirek","year":"2019","journal-title":"Quantitative Economics"},{"key":"quan200178-bib-0038","unstructured":"WWAP (2012), \u201cThe United Nations world water development report 4: Managing water under uncertainty and risk.\u201d World Water Assessment Programme, UNESCO, Paris."}],"container-title":["Quantitative Economics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.3982\/QE1597","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,16]],"date-time":"2024-09-16T18:21:48Z","timestamp":1726510908000},"score":1,"resource":{"primary":{"URL":"http:\/\/qeconomics.org\/ojs\/index.php\/qe\/article\/view\/QE1597"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022]]},"references-count":38,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2022]]}},"alternative-id":["10.3982\/QE1597"],"URL":"https:\/\/doi.org\/10.3982\/qe1597","relation":{},"ISSN":["1759-7323"],"issn-type":[{"value":"1759-7323","type":"print"}],"subject":[],"published":{"date-parts":[[2022]]}}}