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Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models
16 references·2 citing·45 second hop
Green Bonds and Asset Classes: New Evidence from Time-varying Copula and Transfer Entropy Models (2021)Green Bonds and Asset Classes: New Eviden…Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds (2020)Time-frequency comovement amo…Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution (2020)Time and frequency domain con…Relationship between green bonds and financial and environmental variables: A novel time-varying causality (2020)Relationship between green bo…Policy targets behind green bonds for renewable energy: Do climate commitments matter? (2020)Policy targets behind green b…Oil price shocks, geopolitical risks, and green bond market dynamics (2020)Oil price shocks, geopolitica…Network connectedness of green bonds and asset classes (2020)Network connectedness of gree…Is there a green premium in the green bond market? Systematic literature review revealing premium determinants (2020)Is there a green premium in t…Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Frequency Connectedness and C…Dependence and risk spillovers between green bonds and clean energy markets (2020)Dependence and risk spillover…Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade (2019)Time-varying relation between…Price connectedness between green bond and financial markets (2019)Price connectedness between g…The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)The effect of pro-environment…Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Green bond and financial mark…Are green bonds priced differently from conventional bonds? (2018)Are green bonds priced differ…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Technological forecasting and social change (1988)Technological forecasting and…Volatility transmission from critical minerals prices to green investments (2023)Volatility transmission from …ESG equities and Bitcoin: responsible investment and risk management perspective (2023)ESG equities and Bitcoin: res…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)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)The Determinants of Credit Spread Changes (2001)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)ESG and financial performance: aggregated evidence from more than 2000 empirical studies (2015)The Green Bonds Premium Puzzle: The Role of Issuer Characteristics and Third-Party Verification (2019)The pricing of green bonds: are financial institutions special? (2021)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)The green advantage: Exploring the convenience of issuing green bonds (2019)Climate Risks and Financial Stability (2020)Dissecting green returns (2022)Generalized impulse response analysis in linear multivariate models (1998)Extreme return connectedness and its determinants between clean/green and dirty energy investments (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Impulse response analysis in nonlinear multivariate models (1996)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity (2022)An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Do Shareholders Benefit from Green Bonds? (2018)Tail dependence between bitcoin and green financial assets (2021)A step forward on sustainability: The nexus of environmental responsibility, green technology, clean energy and green finance (2022)Role of green finance in improving energy efficiency and renewable energy development (2022)Dynamic Conditional Correlation (2002)Time-frequency connectedness among clean-energy stocks and fossil fuel markets: Comparison between financial, oil and pandemic crisis (2021)A clean, green haven?—Examining the relationship between clean energy, clean and dirty cryptocurrencies (2022)Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies (2022)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Assessing the impact of industrial robots on manufacturing energy intensity in 38 countries (2021)Do geopolitical events transmit opportunity or threat to green markets? Decomposed measures of geopolitical risks (2022)Role of financial inclusion, green innovation, and energy efficiency for environmental performance? Evidence from developed and emerging economies in the lens of sustainable development (2022)BUSINESS MODEL INNOVATION: TOWARDS AN INTEGRATED FUTURE RESEARCH AGENDA (2013)Topic Modeling in Management Research: Rendering New Theory from Textual Data (2019)Who is financing corporate green innovation? (2021)
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References

  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2018The effect of pro-environmental preferences on bond prices: Evidence from green bonds1,377 cited
  • 1988Technological forecasting and social change1,140 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 2019Price connectedness between green bond and financial markets526 cited
  • 2018Are green bonds priced differently from conventional bonds?512 cited
  • 2020Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds453 cited
  • 2020Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution423 cited
  • 2020Network connectedness of green bonds and asset classes349 cited
  • 2020Oil price shocks, geopolitical risks, and green bond market dynamics342 cited
  • 2020Is there a green premium in the green bond market? Systematic literature review revealing premium determinants340 cited
  • 2019Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade337 cited
  • 2020Relationship between green bonds and financial and environmental variables: A novel time-varying causality300 cited
  • 2020Dependence and risk spillovers between green bonds and clean energy markets

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284 cited
  • 2020Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets280 cited
  • 2020Policy targets behind green bonds for renewable energy: Do climate commitments matter?258 cited
  • Cited by

    • 2023Volatility transmission from critical minerals prices to green investments31 cited
    • 2023ESG equities and Bitcoin: responsible investment and risk management perspective25 cited