Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs

DOI10.1007/S10479-021-04367-8zbMath1494.91137OpenAlexW3217769015MaRDI QIDQ2150882

Bushra Naqvi, Nawazish Mirza, Syed Kumail Abbas Rizvi

Publication date: 30 June 2022

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-021-04367-8

zbMATH Keywords

VARenergy derivativesvolatility spilloverBEKKgreen energyexchange-traded funds (ETFs)grey energyreturn spillover

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Portfolio theory (91G10)

Related Items (1)

Financial modeling, risk management of energy and environmental instruments and derivatives: past, present, and future

Cites Work

• Can commodities dominate stock and bond portfolios?
• Managing portfolio diversity within the mean variance theory
• A Class of Methods for Solving Nonlinear Simultaneous Equations
• A Rapidly Convergent Descent Method for Minimization
• Quasi-Newton Methods and their Application to Function Minimisation

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