Assessing downside and upside risk spillovers across conventional and socially responsible stock markets
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DOI: 10.1016/j.econmod.2019.09.023
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References listed on IDEAS
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More about this item
Keywords
Systemic risk; Risk transmission; Socially responsible market; Value at risk; Conditional value at risk;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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