Measuring Risk In Environmental Finance
AbstractEnvironmental sustainability indices, such as the Dow Jones Sustainability Indexes and the Ethibel Sustainability Index, quantify the development and promotion of sustainable social, ethical and environmental values in the community. Moreover, such indices provide a benchmark for managing sustainability portfolios, and developing financial products and services that are linked to sustainable economic, environmental, social and ethical criteria. This paper reviews the existing data and risk indices in environmental finance. The main purpose of the paper is to analyse existing sustainability and ethical indices in environmental finance, and evaluate empirical environmental risk by estimating conditional volatility clustering that is inherent in these indices. Financial volatility models are estimated to analyse the underlying conditional volatility or time-varying risk that is inherent in alternative environmental sustainability indices. Volatility clustering is observed for most series, but some extreme observations are also evident. The log- and second-moment conditions suggest that valid inferences can be drawn for purposes of sensible empirical analysis. Copyright 2007 The Authors. Journal compilation � 2007 Blackwell Publishing Ltd.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Economic Surveys.
Volume (Year): 21 (2007)
Issue (Month): 5 (December)
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0950-0804
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- Yen-Hsien Lee, 2013. "The Predictability of the Socially Responsible Investment Index: A New TMDCC Approach," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 5(1), pages 027-034, June.
- Kumar, Bipul & Sinha, Piyush Kumar & Shukla, P. R. & Abhishek, . "Broadening the Concept of Sustainability and Measuring its Impact on Firm’s Performance," IIMA Working Papers WP2013-08-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
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