Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration. This research thus uses the DCC-MVGARCH model and spillover index method to investigate volatility linkages between the European carbon...

The initial structure of real estate investment trusts (REITs) was predicated on real estate as a long-hold asset that would benefit from an ownership structure that fosters property portfolios held and managed for the long term. Using a sample of publicly traded U.S. REITs from 1995 to 2018, we...

We investigate the effect of portfolio diversification on banking systemic risk, where the network effect is incorporated. We analyze three kinds of interbank networks, namely, random networks, small-world networks and scale-free networks. We show that the effect of portfolio diversification on...