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Assessing green bond risk: an empirical investigation
16 references·0 citing·42 second hop
Assessing green bond risk: an empirical investigation (2021)Assessing green bond risk: an empirical i…Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies (2020)Diversification in the age of…Are green bonds environmentally friendly and good performing assets? (2020)Are green bonds environmental…Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade (2019)Time-varying relation between…The green advantage: Exploring the convenience of issuing green bonds (2019)The green advantage: Explorin…The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)The effect of pro-environment…The changing value of the ‘green’ label on the US municipal bond market (2018)The changing value of the ‘gr…Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Green bond and financial mark…Is it risky to go green? A volatility analysis of the green bond market (2016)Is it risky to go green? A vo…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Long-Term Global Market Correlations (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Price connectedness between green bond and financial markets (2019)Green bonds for sustainable development: Review of literature on development and impact of green bonds (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Theory of Rational Option Pricing (1973)Toward a New Conception of the Environment-Competitiveness Relationship (1995)Illiquidity and stock returns: cross-section and time-series effects (2002)Climate Risks and Financial Stability (2020)Dissecting green returns (2022)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2018The effect of pro-environmental preferences on bond prices: Evidence from green bonds1,377 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 2019The green advantage: Exploring the convenience of issuing green bonds642 cited
  • 2016Is it risky to go green? A volatility analysis of the green bond market346 cited
  • 2018The changing value of the ‘green’ label on the US municipal bond market338 cited
  • 2020Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies338 cited

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2019
Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade
337 cited
  • 2020Are green bonds environmentally friendly and good performing assets?255 cited
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