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Asymmetric tail dependence between green bonds and other asset classes · Study

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ArticleAsymmetric tail dependence between green bonds and other asset classes

Canh Phuc Nguyen2021

Article2021

Asymmetric tail dependence between green bonds and other asset classes

Canh Phuc Nguyen

114 citations·0/0 files stored·Global Finance Journal

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Sustainable Finance and Green Bonds Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms 2021Corporate green bonds 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*2020The Unprecedented Stock Market Reaction to COVID-19 2020COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach 2020Financial contagion during COVID–19 crisis 2007Copula Modeling: An Introduction for Practitioners

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Details

Year2021

Typearticle

Published2021-08-23

VenueGlobal Finance Journal

ISSN-L1044-0283

Languageen

Citations114

Files0 public / 0

ShelfSustainable Finance and Green Bonds

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doi10.1016/j.gfj.2021.100669

openalex_workW3193811028

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2023Asymmetric relationship between green bonds and Sukuk markets: The role of global risk factors

2022Is There an Asymmetric Relationship between Economic Policy Uncertainty, Cryptocurrencies, and Global Green Bonds? Evidence from the United States of America

2024Tail risk contagion and multiscale spillovers in the green finance index and large US technology stocks