Green finance: Evidence from large portfolios and networks during financial crises and recessions
Amedeo Argentiero,
Giovanni Bonaccolto,
Giulio Pedrini
Abstract:In this article, we study the relevance of green finance from a portfolio and a network perspective. The estimates are derived from a regularized graphical model, which allows us to deal with two important issues. First, we refer to the curse of dimensionality, as we focus on a relatively large set of companies. Second, we explicitly take into account the heavy‐tailed distributions of financial time series, which reflect the impact of crises and recessions. Focusing on a time interval spanning across well‐know… Show more
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