Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management
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DOI: 10.1016/j.eneco.2022.106106
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More about this item
Keywords
Green bond; Stock market volatility; Commodity market volatility; TVP-VAR connectedness; Portfolio performance;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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