Risk spillover changes among commodity futures, stock and ESG markets : a study based on multidimensional higher order moment perspective
Peining Yu, Luohui Zhou, Zejun Chen, Chujin Li
| Year of publication: |
2025
|
|---|---|
| Authors: | Yu, Peining ; Zhou, Luohui ; Chen, Zejun ; Li, Chujin |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 71.2025, Art.-No. 106284, p. 1-11
|
| Subject: | COVID-19 impact | ESG bonds | GARCHSK- vine copula-coVaR | Higher moments | Portfolio risk management | Risk spillovers | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Coronavirus | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Spillover-Effekt | Spillover effect |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.106284 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015198300