Price discovery analysis of green equity indices using robust asymmetric vector autoregression
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DOI: 10.1016/j.irfa.2014.10.006
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Cited by:
- Donggyu Lee & Jungho Baek, 2018. "Stock Prices of Renewable Energy Firms: Are There Asymmetric Responses to Oil Price Changes?," Economies, MDPI, vol. 6(4), pages 1-8, November.
- Bai, Rui & Lin, Boqiang, 2023. "Nexus between green finance development and green technological innovation: A potential way to achieve the renewable energy transition," Renewable Energy, Elsevier, vol. 218(C).
- Chevallier, Julien & Goutte, Stéphane & Ji, Qiang & Guesmi, Khaled, 2021. "Green finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints," Energy Policy, Elsevier, vol. 149(C).
- Julien Chevallier & Stéphane Goutte & Khaled Guesmi, 2019. "Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints," Working Papers halshs-02106113, HAL.
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More about this item
Keywords
Green equity indices; Asymmetric vector autoregression; Granger causality; Multiple hypothesis testing; Multiple comparisons bias;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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