This paper proposes a novel interconnected multilayer network framework based on
variance decomposition and block aggregation technique, which can be further served as a …

We examine the impact of the COVID-19 pandemic on G20 stock markets from multiple
perspectives. To measure the impact of COVID-19 on cross-market linkages and deeply …

Abstract The Asia-Pacific region remains understudied regarding return connectedness
among exchange rate markets. Furthermore, previous studies mostly use average-based …

This paper analyses the directional spillover effects and connectedness for both return and
volatility of nine US dollar exchange rates of globally most traded currencies under the …

We propose multilayer networks, including an investor sentiment layer and a stock return
layer, to study similarities and differences between investor sentiment connectedness and …

We examine the volatility spillovers and hedging characteristics between four major
precious metals futures (gold, palladium, platinum, and silver) and seven major currencies …

We estimate the asymmetric time-and frequency connectedness across 11 Asia-Pacific
exchange rates using daily data from Jan 1995 to Mar 2021. Our results reveal that in terms …

This paper examines connectedness spillovers among three blocks of markets: commodities
(agriculture, industrial metals, precious metals, energy, and livestock), currencies (EUR …

The paper examines the dynamic spillover among traditional currencies and
cryptocurrencies before and during the COVID-19 pandemic and investigates whether …

Motivated by the severe impacts of the Covid 19 outbreak on the global trade and capital
flows, which can shift the forex market structure, this paper aims to examine the …