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• W4313399395 abstract "We analyze multifractality for green bonds, stock sector indices, and US economic sector bonds. Green bonds and US bonds show non-linear cross-correlations. We perform Multifractal Detrended Cross-Correlations Analysis (MF-DCCA) to analyze multifractal cross-correlations and the weak version of the Efficient Market Hypothesis (EMH). Our findings are relevant to academics, financial professionals and the general public. Although green bonds are bonds used exclusively to finance sustainable investments, they are still inefficient assets. We find that bond indices for consumer staples and equity indices for information technology and the real state sector can be used to hedge investments in green bonds." @default.
• W4313399395 created "2023-01-06" @default.
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• W4313399395 date "2023-05-01" @default.
• W4313399395 modified "2023-09-30" @default.
• W4313399395 title "Multifractal cross-correlations between green bonds and financial assets" @default.
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• W4313399395 doi "https://doi.org/10.1016/j.frl.2022.103603" @default.
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