This paper investigates how the six major petroleum futures Oman crude, NYMEX RBOB
gasoline, ICE low sulphur gasoil, ICE Brent crude, NYMEX light sweet crude and NYMEX …

Using the newly proposed textual-based climate policy uncertainty index of Gavriilidis
(2021), we provide the first empirical evidence that climate policy uncertainty is a significant …

We construct a new index to measure the intensity of the Russia-Ukraine conflict and use it
to examine to what extent and through which channels does this conflict affect the volatility …

This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …

Temporal data, representing chronological observations of complex systems, has always
been a typical data structure that can be widely generated by many domains, such as …

Using the spillover index approach and its variants, we examine both static and dynamic
volatility connectedness among eight typical cryptocurrencies. The results reveal that their …

We develop a new technique to estimate vector autoregressions with a common factor error
structure by quantile regression. We apply our technique to study credit risk spillovers …

China's commercial Bank shares have become the backbone of the capital market. The
prediction of a bank's stock price has been a hot topic in the investment field. However, the …

This paper introduces a novel framework of partial connectedness measures to investigate
contagion dynamics between different types of oil price shocks and exchange rates. Oil price …

This study investigates the tail risk spillovers between the crude oil market and the stock
markets of twelve major oil-importing and seven oil-exporting countries. We employ a novel …