The dynamic volatility connectedness of major environmental, social, and governance (ESG) stock indices : evidence based on DCC-GARCH model
Muneer Shaik, Mohd Ziaur Rehman
| Year of publication: |
2023
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|---|---|
| Authors: | Shaik, Muneer ; Rehman, Mohd Ziaur |
| Published in: |
Asia Pacific financial markets. - [Erscheinungsort nicht ermittelbar] : Proquest, ISSN 1573-6946, ZDB-ID 2009834-0. - Vol. 30.2023, 1, p. 231-246
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| Subject: | DCC-GARCH | ESG stock indices | Spillover | VAR | Volatility connectedness | Volatilität | Volatility | Aktienindex | Stock index | Corporate Social Responsibility | Corporate social responsibility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Nachhaltige Kapitalanlage | Sustainable investment | Welt | World | VAR-Modell | VAR model | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10690-022-09393-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014251560