Extreme risk dependence between green bonds and financial markets
用时变最优copula和动态条件VaR方法，发现绿色债券在稳定和危机时期为金融市场提供分散化、避险和对冲机会，且COVID-19改变了除比特币外的风险溢出关系。
Abstract The current study investigates the extreme risk dependence between green bonds and financial markets by employing the dual approaches of time‐varying optimal copula and extreme risk spillover analysis of dynamic conditional Value‐at‐Risk. We report significant symmetric (asymmetric) tail‐dependent copulas in the upper (lower) tails characterizing independent regimes. Green bonds offer sufficient diversification, safe‐haven, and hedging opportunities during stable and distressing times to financial markets. The extreme risk spillovers revealed that COVID‐19 transformed the spillovers between green bonds and financial markets except Bitcoin. We proposed insightful implications for policymakers, governments, investors, and portfolio managers to relish the findings for their investment avenues.