This study analyzes the tail-dependence between green bonds and other asset classes including energy markets, stock markets, and conventional bonds. The study employs the …
X Sun, Y Shen, K Guo, Q Ji - Research in International Business and …, 2023 - Elsevier
Do climate risks affect sovereign ratings? This study selects 117 countries around the globe and constructs the ordered logit model to study the relationship between climate risks and …
Climate change poses enormous ecological, socio‐economic, health, and financial challenges. A novel extreme value theory is employed in this study to model the risk to …
R Dias, P Heliodoro, N Teixeira… - International Journal of …, 2020 - researchgate.net
The aim of this paper is to analyse integration and test the hypothesis of an efficient market, in its weak form, in sixteen international financial markets. The sample covers the period …
This paper examines the time and frequency co-movement between sovereign credit ratings and economic risk for five Balkan countries, namely Bulgaria, Greece, Croatia, Romania …
X Sun, Y Shen, G Li - Applied Economics, 2024 - Taylor & Francis
This paper presents a panoramic overview of sovereign risk research. Based on 143 top papers and 2343 mainstream papers retrieved, bibliometric analysis and content analysis …
C Jiang, Y Nie, Q Xu - Global Finance Journal, 2023 - Elsevier
In multinomial classification analysis, the issue of mixed-frequency data is becoming increasingly common. To solve the multiclassification problem in a mixed-frequency data …
This paper provides a novel perspective on the predictive ability of credit rating announcements over stock market returns and volatility using a novel methodology that …
This paper examines whether the influence of investor protection on banks' risk is channeled through banking regulation, and vice-versa, using panel data from a sample of 567 …