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Yao, C., & Li, M. (2023). GARCH-MIDAS-GAS-Copula Model for CoVaR and Risk Spillover in Stock Markets. The North American Journal of Economics and Finance, 66, Article ID: 101910.
https://doi.org/10.1016/j.najef.2023.101910

has been cited by the following article:

• TITLE: Dynamic Volatility Spillovers among Green Bonds, Green Stocks and Carbon Markets under the COVID-19: Evidence from China

  AUTHORS: Siya Ye, Haomin Zhang, Qiao Lou

  KEYWORDS: Dynamic Copula, VAR-BEKK-GARCH-X, Dynamic Dependence, Volatility Spillover, Exogenous Variable, Green Bonds, Green Stocks, Carbon Markets, Green Finance, Sustainable Development

  JOURNAL NAME: American Journal of Industrial and Business Management, Vol.15 No.1, January 21, 2025

  ABSTRACT: The carbon emissions trading markets are strongly linked to the green bond and green stock markets. To gain a deeper understanding of the complex relationships among these three markets, we apply dynamic Copula and VAR-BEKK-GARCH-X models to investigate the dynamic dependence and volatility spillovers between green bond indices (i.e. RGBI), green stock prices (i.e. RGLS), and carbon trading allowances (i.e. RHBC). Additionally, it further investigates the impact of exogenous variables (RGBI/RGLS/RHBC) on market volatility. The empirical results show increased dependence and volatility spillovers during the COVID-19 outbreak. RHBC, as an exogenous variable, demonstrates predictive power in the RGBI-RGLS market spillovers. The findings underscore the strategic importance of green asset allocation for investors and policymakers.