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Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis
16 references·1 citing·41 second hopsampled
Exploring interconnections and risk evaluation of green equities and bonds: fresh perspectives from TVP-VAR model and wavelet-based VaR analysis (2024)Exploring interconnections and risk evalu…Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets (2022)Quantile time–frequency price…The role of green finance in reducing CO2 emissions: An empirical analysis (2021)The role of green finance in …COVID-19 and time-frequency connectedness between green and conventional financial markets (2021)COVID-19 and time-frequency c…Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds (2020)Time-frequency comovement amo…Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Refined Measures of Dynamic C…Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets (2020)Frequency Connectedness and C…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Dependence and risk spillovers between green bonds and clean energy markets (2020)Dependence and risk spillover…Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis (2020)Bitcoin, gold, and commoditie…Oil volatility, oil and gas firms and portfolio diversification (2018)Oil volatility, oil and gas f…Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Green bond and financial mark…Refined Measures of Dynamic Connectedness based on TVP-VAR (2017)Refined Measures of Dynamic C…Dynamic spillovers between commodity and currency markets (2015)Dynamic spillovers between co…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Fiscal and tax incentives and the nighttime Economy: The role of the digital economy (2026)Fiscal and tax incentives and…Is the correlation in international equity returns constant: 1960–1990? (1995)Extreme Correlation of International Equity Markets (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis (2011)Multifractal analysis of financial markets: a review (2019)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Dynamic Conditional Correlation (2002)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)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)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)Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Bitcoin, gold and the dollar – A GARCH volatility analysis (2015)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic? (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)Static and Dynamic Connectedness Between NFTs, Defi and Other Assets: Portfolio Implication (2021)Efficient Tests for an Autoregressive Unit Root (1996)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)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)The robustness of identified VAR conclusions about money (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Oil prices, US stock return, and the dependence between their quantiles (2015)Impacts of green finance on green innovation: A spatial and nonlinear perspective (2022)Assessing oil price volatility co-movement with stock market volatility through quantile regression approach (2023)The drivers of environmental sustainability in BRICS economies: Do green finance and fintech matter? (2023)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)Connectedness between geopolitical risk, financial instability indices and precious metals markets: Novel findings from Russia Ukraine conflict perspective (2022)Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective (2022)Impact of climate policy uncertainty on traditional energy and green markets: Evidence from time-varying granger tests (2022)
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References

  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 2020Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions1,586 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 2021The role of green finance in reducing CO2 emissions: An empirical analysis605 cited
  • 2020Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis524 cited
  • 2022Quantile time–frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets519 cited
  • 2020Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds453 cited
  • 2018Oil volatility, oil and gas firms and portfolio diversification315 cited
  • 2020Dependence and risk spillovers between green bonds and clean energy markets284 cited
  • 2020Frequency Connectedness and Cross-quantile Dependence Between Green Bond and Green Equity Markets280 cited
  • 2021

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COVID-19 and time-frequency connectedness between green and conventional financial markets
256 cited
  • 2015Dynamic spillovers between commodity and currency markets240 cited
  • 2017Refined Measures of Dynamic Connectedness based on TVP-VAR218 cited
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    • 2026Fiscal and tax incentives and the nighttime Economy: The role of the digital economy2 cited