Dynamic spillovers and connectedness between crude oil and green bond markets
In this paper, we examine dynamic frequency spillovers, co-movements and volatility
transmission among green bond yields and crude oil. We use different econometric methods …
transmission among green bond yields and crude oil. We use different econometric methods …
Frequency spillovers between oil shocks and stock markets of top oil-producing and-consuming economies
Motivated by large oil price swings, high economic and geopolitical uncertainties, and the
financialization of oil, this paper examines the frequency spillovers and co-movements …
financialization of oil, this paper examines the frequency spillovers and co-movements …
Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks
Hedging is a particularly important tool in the Exchange Traded Fund (ETF) markets where
market makers seek the best ways to mitigate the uncertainty of their exposures. This study …
market makers seek the best ways to mitigate the uncertainty of their exposures. This study …
Time-frequency tail risk spillover between ESG climate and high-carbon assets: The role of economic policy uncertainty and financial Stress
Z Huang, H Zhu, X Deng, T Zeng - Finance Research Letters, 2024 - Elsevier
This study proposes the multiscale R 2 decomposed connectedness approach to investigate
the time-frequency contemporaneous and lagged risk spillover between ESG climate and …
the time-frequency contemporaneous and lagged risk spillover between ESG climate and …
ESG, clean energy, and petroleum futures markets: Asymmetric return connectedness and hedging effectiveness
This study investigates the asymmetric return connectedness and portfolio implications
among environmental, social and governance (ESG) exchange-traded funds (ETFs), clean …
among environmental, social and governance (ESG) exchange-traded funds (ETFs), clean …
Dynamic spillovers between Shanghai crude oil futures and China's green markets: Evidence from quantile-on-quantile connectedness approach
M Liu, H Liu, W Ping - Economic Analysis and Policy, 2025 - Elsevier
This paper provides a preliminary investigation of the dynamic relationship between crude
oil and different green assets by examining the spillover effects between the Shanghai crude …
oil and different green assets by examining the spillover effects between the Shanghai crude …
Does asset-based uncertainty drive asymmetric return connectedness across regional ESG markets?
This paper investigates the impact of asset-based uncertainty on the asymmetric return
connectedness and hedging effectiveness of regional environmental, social and …
connectedness and hedging effectiveness of regional environmental, social and …
Spillovers and multiscale relationships among cryptocurrencies: A portfolio implication using high frequency data
This study examines the nonlinear multiscale relationships and spillovers among the main
cryptocurrencies (Bitcoin, Bitcoin cash, Ethereum, Litecoin, DASH, Ripple, and Monero) …
cryptocurrencies (Bitcoin, Bitcoin cash, Ethereum, Litecoin, DASH, Ripple, and Monero) …
Extreme time-frequency connectedness across US sector stock and commodity futures markets
This study investigates the extreme time-frequency return connectedness between ten US
sectors and commodities from January 2014 to May 2023. Using quantile time-frequency …
sectors and commodities from January 2014 to May 2023. Using quantile time-frequency …
Intraday spillovers in high-order moments among main cryptocurrency markets: the role of uncertainty indexes
This study examines hourly realized volatility and high-order moments (realized kurtosis,
realized skewness, and Jumps) spillovers among leading cryptocurrency markets (Bitcoin …
realized skewness, and Jumps) spillovers among leading cryptocurrency markets (Bitcoin …