Tatiana Gherman

Mixed uncertainty information and volatility in the green bond market based on a new two-regime GARCH-MIDAS extension model

Purpose This study pioneers a novel two-regime Generalized Autoregressive Conditional Heteroskedasticity–Mixed Data Sampling (GARCH-MIDAS) extension model to disentangle the dual dynamics of traditional drivers and mixed uncertainty indicators in green bond market volatility. Unl...