Publications

Measuring Climate Transition Risk Spillovers
Runfeng Yang, Massimiliano Caporin and Juan-Ángel Jiménez-Martín
Review of Finance, Volume 28, Issue 2, March 2024, Pages 447–481

ESG Risk Exposure: A Tale of Two Tails
Runfeng Yang, Massimiliano Caporin and Juan-Ángel Jiménez-Martín
Quantitative Finance, forthcoming

Working Papers

Chasing the Non-linear ESG Factor
Runfeng Yang, Juan-Ángel Jiménez-Martín and Massimiliano Caporin
Working Paper

The Artificial Intelligence Premium
Runfeng Yang, Yufeng Mao, Massimiliano Caporin and Juan-Ángel Jiménez-Martín
Working Paper

Responsible Investing: ESG Risk Budgeting
Runfeng Yang, Massimiliano Caporin, Sandra Paterlini and Monica Billio
Working Paper