In this study, we enhance the dynamic connectedness measures originally introduced by
Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive …

With many commodity and financial markets reportedly experiencing poor performances
during this COVID-19 pandemic, this study intends to examine the effect of the pandemic on …

This paper investigates the volatility spillover effects and the dynamic relationships among
WTI crude oil, gold and the Chinese stock markets of new energy vehicle, environmental …

This paper examines return and volatility connectedness between Bitcoin, traditional
financial assets (Crude Oil, Gold, Stocks, Bonds, and the United States Dollar-USD), and …

The conflict between Russia and Ukraine has been causing knock-on effects worldwide. The
supply and price of major commodity markets (oil, gas, platinum, gold, and silver) have been …

In this paper, we show evidence of a dramatic change in the structure and time-varying
patterns of return connectedness across various assets (gold, crude oil, world equities …

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 …

With the increasing severe pollution, the new energy industry is greatly favored by the
government and investors. Using the static network connectedness method of Diebold and …

This paper investigates the return volatility spillover effects and the dynamic relationships
among WTI crude oil futures, Natural Gas futures, and the Chinese stock markets related to …