Dependence structure and dynamic connectedness between green bonds and financial markets: Fresh insights from time-frequency analysis before and during COVID-19 pandemic
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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?
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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