Volatility and Regime Switching in Sustainable Indices
The performance and volatility of sustainable indices are influenced by regime-switching, with positive shocks impacting volatility differently than negative ones, as demonstrated by a study of major sustainable indices from 2009 to 2017.
Featured in No. 17 on 28 Sep 2023 ·
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- 29 Jul 2021
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- No. 17 · 28 Sep 2023
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- SSRN 4579948
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