波动性(金融)
ARCH模型
经济
异方差
风险价值
金融经济学
自回归模型
精算学
计量经济学
业务
风险管理
财务
作者
Petter Olofsson,Anna Råholm,Gazi Salah Uddin,Victor Troster,Sang Hoon Kang
标识
DOI:10.1016/j.irfa.2021.101952
摘要
This study investigates the time-varying volatility and risk measures of ethical and unethical investments. We apply the Bayesian Markov-switching generalized autoregressive conditional heteroscedasticity (MS-GARCH) approach to compute the value-at-risk (VaR) and expected shortfall (ES) of ethical and unethical indices returns, which allows for detecting the differences between ethical and unethical investments. The innovative finding of our study is that ethical investments are less affected during global financial crises compared with unethical and conventional investments. The policy implication of this study is that investors should consider ethical investments as a hedging asset for their portfolios during extreme market conditions.
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