Keywords: DCC-GARCH
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Journal Articles

Co-movement dynamics of sustainability indices: investigating the diversification opportunities through FTSE4Good index family and Borsa Istanbul sustainability index

Ibrahim Yasar Gok, Serhat Duranay, Hande Uzunoglu Unlu
Journal: Social Responsibility Journal
Social Responsibility Journal (2020) 16 (8): 1475–1487.
https://doi.org/10.1108/SRJ-02-2019-0073
Published: 09 January 2020
... Sustainability Index (XUSRD) and FTSE4Good index family daily data for the period of 11/04/2014-12/31/2017 is used and the DCC-GARCH model is applied to explore the dynamic correlation linkages. Findings The results indicate that co-movements between XUSRD and FTSE4Good indices are time-varying and generally...
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