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Modelling the mean and volatility spillover between green bond market and renewable energy stock market
16 references·0 citing·43 second hop
Modelling the mean and volatility spillover between green bond market and renewable energy stock market (2022)Modelling the mean and volatility spillov…Asymmetric spillovers between green bonds and commodities (2021)Asymmetric spillovers between…Policy targets behind green bonds for renewable energy: Do climate commitments matter? (2020)Policy targets behind green b…Dependence and risk spillovers between green bonds and clean energy markets (2020)Dependence and risk spillover…Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2019)Dependences and volatility sp…Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring the Frequency Dynam…Is it risky to go green? A volatility analysis of the green bond market (2016)Is it risky to go green? A vo…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach (2008)Estimating ‘Value at Risk’ of…Is Financial Globalization Beneficial? (2007)Is Financial Globalization Be…MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS (1996)MODELING THE DYNAMIC INTERDEP…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988)Meteor Showers or Heat Waves?…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Multivariate GARCH models: a surveyModeling Asymmetric Comovements of Asset Returns (1998)Dynamic Conditional Correlation (2002)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence (1990)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)Testing for a unit root in variables with a double change in the mean (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Generalized impulse response analysis in linear multivariate models (1998)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Macroeconomics and Reality (1980)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Transmission of Volatility between Stock Markets (1990)An Introduction to Copulas (1999)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Are green bonds a different asset class? Evidence from time-frequency connectedness analysis (2021)Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Asymmetric volatility transmission in international stock markets (1995)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Diversification in the age of the 4th industrial revolution: The role of artificial intelligence, green bonds and cryptocurrencies (2020)Is there a green premium in the green bond market? Systematic literature review revealing premium determinants (2020)Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution (2020)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2018Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*1,790 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 1988Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market786 cited
  • 2016Is it risky to go green? A volatility analysis of the green bond market346 cited
  • 2020Dependence and risk spillovers between green bonds and clean energy markets284 cited
  • 2020Policy targets behind green bonds for renewable energy: Do climate commitments matter?258 cited
  • 2007Is Financial Globalization Beneficial?208 cited
  • 2008Estimating ‘Value at Risk’ of crude oil price and its spillover effect using the GED-GARCH approach206 cited
  • 1996MODELING THE DYNAMIC INTERDEPENDENCE OF MAJOR EUROPEAN STOCK MARKETS

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195 cited
  • 2021Asymmetric spillovers between green bonds and commodities187 cited
  • 2019Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models154 cited
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