Title: Short- and long-run cross-country sustainability interdependences
Authors: Starvoula Yfanti - Queen Mary University of London (United Kingdom) [presenting]
Menelaos Karanasos - Brunel University (United Kingdom)
Jiaying Wu - Brunel University (United Kingdom)
Abstract: The cross-country interconnectedness among sustainability equity indices is investigated. Using a bivariate corrected-DCC-MIDAS setting, we study the short- and long-run time-varying dependence dynamics among national sustainability benchmarks. Our correlation analysis identifies short- and long-run hedging characteristics and interdependences and concludes on both procyclical and countercyclical cross-country interlinkages.