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Time-varying tail risk connectedness among sustainability-related products and fossil energy investments
16 references·2 citing·38 second hopsampled
Time-varying tail risk connectedness among sustainability-related products and fossil energy investments (2023)Time-varying tail risk connectedness amon…Measuring Geopolitical Risk (2022)Measuring Geopolitical RiskRefined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)Time and frequency dynamics o…Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Green bond and financial mark…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Volatility spillovers between…Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Volatility Spillover Effects in European Equity Markets (2005)Volatility Spillover Effects …CAViaR (2004)CAViaRVolatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…The impact of green finance policies on supply chain resilience (2025)The impact of green finance p…The impacts of global economic policy uncertainty on green bond returns: A systematic literature review (2024)The impacts of global economi…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)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Evaluating Interval Forecasts (1998)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)CoVaR (2016)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)The robustness of identified VAR conclusions about money (1998)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)The Unprecedented Stock Market Reaction to COVID-19 (2020)Estimation and Inference of Impulse Responses by Local Projections (2005)Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine (2022)Russia–Ukraine crisis: The effects on the European stock market (2022)The impact of the Russian-Ukrainian war on global financial markets (2023)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies (2021)Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)SRISK: A conditional capital shortfall measure of systemic risk (2017)
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References

  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Efficient Tests for an Autoregressive Unit Root5,637 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2022Measuring Geopolitical Risk3,788 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2004CAViaR2,210 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management666 cited

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2005
Volatility Spillover Effects in European Equity Markets
651 cited
  • 2018Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices643 cited
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    • 2024The impacts of global economic policy uncertainty on green bond returns: A systematic literature review24 cited
    • 2025The impact of green finance policies on supply chain resilience19 cited