Return and Volatility Properties Comparison of High-ESG Rating and Low-ESG Rating Exchange-traded Funds (ETFs)
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- Kang, Sang Hoon & Yoon, Seong-Min, 2007. "Long memory properties in return and volatility: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 591-600.
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Keywords
High-ESG and low-ESG rating ETFs; volatility clustering; asymmetric volatility;All these keywords.
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