and bond portfolios …

observe Borsa Italiana market over the period 2016-2019, adopting Arellano-Bond dynamic panel regressions. Our results state … turbulence, green bonds are exposed to market volatility like conventional ones. Definitively, since recent research has shown …

countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our …

realized moments - realized volatility, realized skewness and realized kurtosis using high-frequency data. We find realized … skewness to have significant negative effect on future excess returns, on the contrary realized volatility and realized …