Structural Change Detection in Panel-MIDAS-ARDL Time Series Regression Models: An Application to Firm Values and ESG Scores
A three-stage Panel-MIDAS-ARDL and SBS-Cross-Entropy method for detecting sector-specific structural changes in the effect of ESG on ETF valuations.
Aug 8, 2025
Development of ESG Factors for Enhancing Factor Model in the Thai Stock Market
A Thai ESG best-minus-worst factor that adds distinct information to conventional asset-pricing models for THSI-listed stocks.
Feb 13, 2024