In this paper, we use the improved Diebold & Yilmaz method based on TVP-VAR-SV model
to analyze dynamic connectedness between energy, precious metal, industrial metal …

With many studies highlighting the heterogeneous impact of the COVID-19 pandemic on
different commodity markets, this study provides evidence of quantile connectedness …

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

This paper investigates the higher-order moment risk connectedness between West Texas
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …

We analyze return and volatility connectedness of the rising green asset and the well-
established US industry stock and commodity markets from September 2010 to July 2021 …

In this study, we present the evidence of dramatic changes in the structure and time-varying
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …

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 …

This study analyzes the relationship between clean and dirty energy sources and energy
metals during the COVID-19 pandemic. We document a sharp increase in connectedness …

This study analyzes the lead-lag relationship between the price indices of energy fuels and
each of food, industrial inputs, agriculture raw materials, metals and beverages in the time …

This paper examines the safe-haven and hedging potential of oil and gold against industrial
metals and agricultural commodities using a novel approach of quantile-on-quantile …