Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25
selected ESG indices and conventional ones and investigate dependence between them. Analysis of tail dependence is important to …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail-dependence …. Results of the research confirm the higher dependence of extreme values in the crisis period (e.g., tail-dependence values in …