Ortolano, Alessandra; Nissi, Eugenia - In: Risks : open access journal 10 (2022) 3, pp. 1-13
The paper is an investigation on the impact of financial markets on the volatility of the green bonds credit risk component, measured by the option-adjusted spread/swap curve (OAS) before and during the pandemic period. To this purpose, after observing the dynamic joint correlations between all...