Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency analysis

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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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Bibliographic Details
Main Author:	Wan, Jieru
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2022
Online Access:	https://eprints.nottingham.ac.uk/70874/

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