Exploring interconnections and risk evaluation of green equities and bonds : fresh perspectives from TVP-VAR model and wavelet-based VaR analysis
Mohamed Yousfi and Houssam Bouzgarrou
| Year of publication: |
2025
|
|---|---|
| Authors: | Yousfi, Mohamed ; Bouzgarrou, Houssam |
| Published in: |
China finance review international. - Bingley : Emerald, ISSN 2044-1401, ZDB-ID 2589380-4. - Vol. 15.2025, 1, p. 117-139
|
| Subject: | Green equities | Green bond | Volatility spillover | Risk analysis | TVP-VAR | Value-at-risk ratio | Volatilität | Volatility | Risikomaß | Risk measure | Risikomanagement | Risk management | Risiko | Risk | Anleihe | Bond | Portfolio-Management | Portfolio selection | Nachhaltige Kapitalanlage | Sustainable investment | VAR-Modell | VAR model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/CFRI-05-2024-0237 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015323953