Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions
N Antonakakis, I Chatziantoniou… - Journal of Risk and …, 2020 - mdpi.com
In this study, we enhance the dynamic connectedness measures originally introduced by
Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive …
Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive …
[HTML][HTML] Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties
This paper examines return and volatility connectedness between Bitcoin, traditional
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and …
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and …
Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach
This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …
based extended joint connectedness approach in order to characterize connectedness of 11 …
Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?
This study investigates the dynamic connectedness between stock indices and the effect of
economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread …
economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread …
The economic value of NFT: Evidence from a portfolio analysis using mean–variance framework
We investigate whether the inclusion of NFTs in portfolio investing in traditional assets
provides a significant diversification benefit for constructing a well-diversified portfolio. We …
provides a significant diversification benefit for constructing a well-diversified portfolio. We …
[HTML][HTML] Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices
This paper examines the dynamic connectedness of return-and volatility spillovers among
cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional …
cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional …
[HTML][HTML] The impact of COVID-19-related media coverage on the return and volatility connectedness of cryptocurrencies and fiat currencies
This research explores the impact of COVID-19-related media coverage on the dynamic
return and volatility connectedness of the three dominant cryptocurrencies (Bitcoin (BTC) …
return and volatility connectedness of the three dominant cryptocurrencies (Bitcoin (BTC) …
Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?
With the rapid spread of coronavirus, the global financial markets have been undergoing
tremendous changes, which bring investors more risks in the short term. Against such …
tremendous changes, which bring investors more risks in the short term. Against such …
[HTML][HTML] The dynamic volatility nexus of FinTech, innovative technology communication, and cryptocurrency indices during the crises period
In this study, we investigate the dynamic volatility connectedness of FinTech, innovative
technology communication, and cryptocurrency indices for the period from June 2018 to …
technology communication, and cryptocurrency indices for the period from June 2018 to …
Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness
We investigate the joint and bivariate return and volatility interdependence between various
agricultural commodities and oil price shocks. As an alternative of the Diebold and Yilmaz …
agricultural commodities and oil price shocks. As an alternative of the Diebold and Yilmaz …