Conditional volatility targeting strategy considering jump effects : evidence from sustainable ESG equity index
Jr-Wei Huang, Sharon S. Yang, Hung-Wen Cheng
| Year of publication: |
2024
|
|---|---|
| Authors: | Huang, Jr-Wei ; Yang, Sharon S. ; Cheng, Hung-Wen |
| Subject: | ARMA-GARCH jump model | Conditional volatility targeting strategy | Jump risk | Sustainable ESG equity index | Volatilität | Volatility | Aktienindex | Stock index | Corporate Social Responsibility | Corporate social responsibility | ARCH-Modell | ARCH model | Nachhaltige Kapitalanlage | Sustainable investment | Portfolio-Management | Portfolio selection |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.pacfin.2024.102525 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015324171