Against the backdrop of the Covid-19 pandemic, this study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We use the cross-quantilogram approach that provides a better understanding of the dynamic relationship...

The current study examines the risk transmission between green markets and commodities spanning 3 January 2011 to 20 June 2021. We use two novel methodologies of volatility transmission using dynamic conditional correlation (DCC-GARCH) and the other time-varying parameters vector autoregression...