We analyse, in the time and frequency domains, the relationships between three popular cryptocurrencies and a variety of other financial assets. We find evidence of the relative …
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 …
Carbon allowances are a new class of financial instrument which aim to assist in limiting the extent and impact of global warming and climate change. The feedback mechanism in the …
S Yi, Z Xu, GJ Wang - International Review of Financial Analysis, 2018 - Elsevier
Using the spillover index approach and its variants, we examine both static and dynamic volatility connectedness among eight typical cryptocurrencies. The results reveal that their …
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 …
This article provides a review of the academic literature on the financial economics of silver, platinum and palladium. The survey covers the findings on a wide variety of topics relation to …
Using a bivariate dynamic conditional correlation (DCC) generalized autoregressive conditional heteroskedasticity (GARCH) model, this study compares the safe-haven …
The spillover effect is an important factor affecting the volatility of crude oil price. Basing on the study of Diebold and Yilmaz (2009, 2012, 2014), we propose a new method that …
J Chen, Z Liang, Q Ding, Z Liu - International Review of Financial Analysis, 2022 - Elsevier
This study employs a quantile connectedness approach to examine the dynamic linkages and tail risk connectedness between energy, metal, and carbon markets. Results show that …