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Title:

Vine copula based dependence modeling in sustainable finance

Document type:
Zeitschriftenaufsatz
Author(s):
Czado, Claudia; Bax, Karoline; Sahin, Özge; Nagler, Thomas; Min, Aleksey; Paterlini, Sandra
Abstract:
Climate change and sustainability have become societal focal points in the last decade. Consequently, companies have been increasingly characterized by non-financial information, such as environmental, social, and governance (ESG) scores, based on which companies can be grouped into ESG classes. While many scholars have questioned the relationship between financial performance and risks of assets belonging to different ESG classes, the question about dependence among ESG classes is still open. H...     »
Keywords:
Copulas Vine copulas Cross sectional and temporal dependence ESG Sustainability
Dewey Decimal Classification:
510 Mathematik
Journal title:
The Journal of Finance and Data Science
Year:
2022
Journal volume:
8
Year / month:
2022-11
Quarter:
4. Quartal
Month:
Nov
Pages contribution:
309-330
Language:
en
Fulltext / DOI:
doi:10.1016/j.jfds.2022.11.003
Publisher:
Elsevier BV
E-ISSN:
2405-9188
Status:
Verlagsversion / published
Date of publication:
01.11.2022
Semester:
WS 22-23
TUM Institution:
Angewandte Mathematische Statistik
Format:
Text
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