Volatility spillover and investment strategies among sustainability-related financial indexes : evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach
Year of publication: |
2022
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Authors: | Zhang, Wenting ; He, Xie ; Hamori, Shigeyuki |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 83.2022, p. 1-14
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Subject: | Carbon emission futures | Connectedness | DCC-GARCH-based dynamic connectedness approach | ESG index | Risk hedging | Sustainability-related index | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Hedging | Treibhausgas-Emissionen | Greenhouse gas emissions | Aktienindex | Stock index | Portfolio-Management | Portfolio selection |
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