Understanding dynamic return connectedness and portfolio strategies among international sustainable exchange-traded funds
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DOI: 10.1016/j.econmod.2024.106864
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More about this item
Keywords
ESG; Exchange-traded funds; Dynamic connectedness; Hedging effectiveness; Portfolio strategies;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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