| Title |
Financing green solutions: asset returns and tail risks |
| Authors |
Ivanauskas, Eugenijus Gabrielius ; Urbonaitė, Liepa ; Jokubaitis, Saulius |
| DOI |
10.18690/um.fov.5.2026.4 |
| eISBN |
9789612991609 |
| Full Text |
|
| Is Part of |
Artificial Intelligence and environmental challenges: Research insights and emerging solutions / editor Robert Leskovar.. Maribor : University of Maribor Press, 2026. p. 57-86.. eISBN 9789612991609 |
| Keywords [eng] |
sustainable finance ; vine copulas ; ARMA-GARCH models ; volatility transmission ; risk modelling ; tail dependence |
| Abstract [eng] |
The translation of green technologies from theoretical potential to industrial adoption hinges on the stability of the financial mechanisms that fund them. This Chapter investigates the risk dynamics and dependence structures of the Green financial ecosystem, comprising Green Bonds, Clean Energy ETFs, and Carbon Credits. Employing a rolling-window ARMA-GARCH-Vine Copula framework we map the evolving topology of sustainable finance and test the "decoupling hypothesis". The analysis reveals that while Green Bonds have successfully decoupled and act as effective portfolio diversifiers, Clean Energy equities remain deeply integrated with broad market risks, functioning as a centralized "hub" for volatility transmission. We further identify a distinct structural shift around mid-2024, where with the fade of the post-pandemic volatility the market network stabilizes into an R-Vine structure that transmits shocks more efficiently. Finally, we assess the viability of clean cryptocurrencies, finding them structurally incompatible with institutional hedging strategies due to extreme tail-risk dependence. |
| Published |
Maribor : University of Maribor Press, 2026 |
| Type |
Book part |
| Language |
English |
| Publication date |
2026 |
| CC license |
|
