Do oil prices and stock markets move in tandem or in opposite directions? The complex and
time varying relationship between oil prices and stock markets has caught the attention of …

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 examines the asymmetric return spillovers between crude oil futures, gold futures
and ten sector stock markets of China. The results show using the spillover index of Diebold …

This paper investigates volatility spillovers between energy and stock markets during
periods of crises. Our main findings reveal that transmissions of volatilities among these …

This study examines the dynamic asymmetric return spillovers between gold and oil
commodity futures and 22 European equity sectors using the Diebold and Yilmaz (2012) …

In this study, we present the evidence of dramatic changes in the structure and time-varying
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …

This paper examines spillover effects among six commodity futures markets–gold, silver,
West Texas Intermediate crude oil, corn, wheat, and rice–by employing the multivariate …

In recent years, Bitcoin exchange rate prediction has attracted the interest of researchers
and investors. Some studies have used traditional statistical and econometric methods to …

While much research uses multivariate GARCH to model volatility dynamics and risk
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …

Building on the increased interest in the volatility spillover effects between Chinese stock
market and commodity markets, this paper investigates the dynamic volatility spillovers of …