Spillover Effects of Crude Oil Returns, Green Bonds, and SRI-Labeled Funds: An MS-GARCH and Spectrum Analysis Approach

This repository contains the datasets, statistical codes, and supplementary materials used in the study entitled *"Spillover Effects of Crude Oil Returns, Green Bonds, and SRI-Labeled Funds: An MS-GARCH and Spectrum Analysis Approach."* The dataset includes daily observations on Brent crude oil returns, WTI crude oil returns, S&P Green Bond Index returns, and MSCI World SRI Index returns covering the period from November 28, 2014 to December 13, 2024. The repository also provides processed datasets, variable definitions, data transformations, and the statistical scripts used to estimate the Markov-Switching GARCH (MS-GARCH) models and frequency-domain (spectral) Granger causality tests. These materials are provided to ensure transparency, reproducibility, and verification of the empirical findings reported in the study.