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The dynamic connectedness between collateralized loan obligations and major asset classes: a TVP-VAR approach and portfolio hedging strategies for investors
Motivated by the increasing demand for alternative assets that can contribute to reducing portfolio risk, this paper examines the volatility...
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Cross-border spillovers in G20 sovereign CDS markets: cluster analysis based on K-means machine learning algorithm and TVP–VAR models
This paper investigates cross-border spillovers between G20 sovereign credit default swap (CDS) markets over the period 2009–2023. First, using the...
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The volatility connectedness between fertilizers and rice price: evidences from the global major rice-producing countries
This study examined the volatility connectedness between rice price and selected fertilizer commodity products among global rice-producing countries...
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Asymmetric connectedness between conventional and Islamic cryptocurrencies: Evidence from good and bad volatility spillovers
This paper examines the dynamics of the asymmetric volatility spillovers across four major cryptocurrencies comprising nearly 61% of cryptocurrency...
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Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model
This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using...
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Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the...
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Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications
We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for different quantiles employing a time-varying parameter...
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Connectedness and risk transmission of China’s stock and currency markets with global commodities
This study investigates the transmission of risk shocks between China’s stock and currency markets with global commodities (including crude oil,...
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Higher moment connectedness of cryptocurrencies: a time-frequency approach
The purpose of the study is to examine higher moment connectedness among 12 cryptocurrencies using data sampled at the 1-minute high-frequency...
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Time-varying spillovers in high-order moments among cryptocurrencies
This study uses high-frequency (1-min) price data to examine the connectedness among the leading cryptocurrencies (i.e. Bitcoin, Ethereum, Binance,...
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Time connectedness of fear
This paper examines the interconnection between four implied volatility indices representative of the investors' consensus view of expected stock...
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Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic
Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management. However, most...
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Did real economic uncertainty drive risk connectedness in the oil–stock nexus during the COVID-19 outbreak? A partial wavelet coherence analysis
This study explores the impact of real economic policy (business condition risk) on the oil–stock nexus risk connectedness during the COVID-19...
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Spillover Connectedness Between Cryptocurrency and Energy Sector: An Empirical Investigation Under Asymmetric Exogenous Shocks of Health and Geopolitical Crisis and Uncertainties
Investigating the spillover connectedness between cryptocurrency and energy sector from the perspective of the investigation under asymmetric...
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Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework
Financial risk is spread and amplified through the interconnectedness among financial institutions. We apply a time-varying parameter vector...
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Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes
The main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which...
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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...
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Return spillovers between decentralized finance and centralized finance markets
This study investigates the dynamic return connectedness among Decentralized Finance (DeFi) assets [Chainlink (LINK), Maker (MAKER), Basic Attention...
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Liquidity connectedness in cryptocurrency market
We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J...
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Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict
This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants...
