Sökning: "Diebold and Yilmaz model."

Hittade 2 uppsatser innehållade orden Diebold and Yilmaz model..

1. 1. The Risk Spillover Effect Between the EUA Carbon Market and Carbon-intensive Sectors in European Stock Markets

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Yuhan Chen; Hsin-Ying Chiu; [2023]
   Nyckelord :Risk spillover; EUA carbon market; Carbon-intensive sectors; European stock markets; Diebold and Yilmaz model.; Business and Economics;

   Sammanfattning : This study examines the risk spillover effect between European emission allowance (EUA) carbon price and the indices of energy-intensive industries in the stock market in the European countries. To achieve this, we employ the Diebold and Yilmaz model to investigate both the static and dynamic risk spillover effect and discuss the impact of the economic conditions and policy changes on the carbon market. LÄS MER

3. 2. How do ESG assets relate to the financial market? : A Diebold-Yilmaz spillover approach to sustainable finance

   Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Shobair Moosawi; Ludvig Segerhammar; [2022]
   Nyckelord :AR 1 -GARCH p; q ; Commodity; ESG; Equity; Return; Spillover; Sustainability; Sustainable finance; Volatility;

   Sammanfattning : The purpose of this master’s thesis is to investigate to what extent ESG assets and traditional benchmarks affect one another. Since sustainable investment is a growing segment of the financial market, investors need to be informed about how it may affect their portfolios, and by extension if it can be used for portfolio diversification. LÄS MER