Modelling the mean and volatility spillover between green bond market and renewable energy stock market

Modelling the mean and volatility spillover between green bond market and renewable energy stock market

In this paper,we investigate the mean and volatility spillover between the price of green bonds and the price of renewable energy stocks using daily price series from 02/11/2011 to 31/08/2021. The unrestricted trivariate VAR-BEKK-GARCH model is employed to examine potential causality,mean,and volati...

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Bibliographic Details
Main Authors: Samuel Asante Gyamerah, Bright Emmanuel Owusu, Ellis Kofi Akwaa-Sekyi
Format: Article
Language:English
Published: AIMS Press 2022-08-01
Series:Green Finance
Subjects:
green bonds
clean energy stock
volatility spillover
climate change
var-bekk-garch
climate finance
Online Access:https://www.aimspress.com/article/doi/10.3934/GF.2022015?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/GF.2022015?viewType=HTML

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