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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-10-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/19/3598 |