Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach

Modeling Synchronization Risk among Sustainable Exchange Trade Funds: A Statistical and Network Analysis Approach

We evaluate the environment, society, and corporate governance rating (ESG rating) contribution from a new perspective; the highest ESG rating mitigates the impact of unexpected change in the implied volatility on the systemic stock market risk. For this purpose, we use exchange-traded funds (ETF) c...

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Bibliographic Details
Main Authors: Nicolás Magner, Jaime F. Lavín, Mauricio A. Valle
Format: Article
Language:English
Published: MDPI AG 2022-10-01
Series:Mathematics
Subjects:
ETF
ESG ratings
risk management
econometric modeling
network analysis
volatility shocks
Online Access:https://www.mdpi.com/2227-7390/10/19/3598

Internet

https://www.mdpi.com/2227-7390/10/19/3598

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