Short- and long-run cross-border European sustainability interdependences
S. Yfanti,
M. Karanasos,
J. Wu
et al.
Abstract:The increasing interest in climate change risks, environmental degradation, corporate social responsibility, and environmental, social, governance principles has motivated the recent soaring focus of policymakers, market practitioners, and academics on sustainable investments. In this vein, we investigate the cross-country interconnectedness among sustainability equity indices. Using a bivariate Dynamic Conditional Correlations-Mixed Data Sampling (DCC-MIDAS) specification, we study the short- and long-run tim… Show more
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