Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency analysis
Abstract To identify information connectedness and risk contagions among global environmental, social, and governance (ESG) markets, this dissertation uses the time and frequency domains connectedness based on time-varying parameter vector autoregressive (TVP-VAR) approaches to analyze return and v...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/70874/ |