Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic
Sign Up to like & getrecommendations! Published in 2022 at "Energy Economics"
DOI: 10.1016/j.eneco.2022.105842
Abstract: This paper examines the interdependence between green bonds and financial markets in the time-frequency domain by utilizing the multivariate wavelet approach and dynamic connectedness through combining Ensemble Empirical Mode Decomposition (EEMD) with Diebold and Yilmaz… read more here.
Keywords: time; bonds financial; financial markets; green bonds ... See more keywords
Dynamic connectedness of currencies in G7 countries: A Bayesian time-varying approach
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DOI: 10.1016/j.frl.2020.101896
Abstract: Abstract This paper focuses on the dynamic connectedness of the five currencies used in G7 since 1983 in daily frequency measured by a Bayesian time-varying approach. We find that the total connectedness of the system… read more here.
Keywords: varying approach; time; dynamic connectedness; bayesian time ... See more keywords
Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?
Sign Up to like & getrecommendations! Published in 2021 at "Resources Policy"
DOI: 10.1016/j.resourpol.2021.102112
Abstract: Abstract This paper examines the dynamics between the energy markets and uncertainty indices from January 1st, 2001 till July 1st, 2020, using the time-domain TVP-VAR-based connectedness approach of Antonakakis and Gabauer (2017). In particular, we… read more here.
Keywords: dynamic connectedness; energy markets; uncertainty; investor ... See more keywords
Not all REITs are alike: modelling the dynamic connectedness of sectoral REITs and the US yield curve
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DOI: 10.1080/00036846.2024.2373408
Abstract: ABSTRACT We model the dynamic connectedness between key sectoral REITs and the yield curve’s constituents. We employ both return and volatility of REITs and conduct analysis in static as well as time-varying framework. Our static… read more here.
Keywords: yield curve; sectoral reits; dynamic connectedness; connectedness sectoral ... See more keywords