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) …

We examine co-movement between the green bond and financial markets, finding that the
green bond market couples with corporate and treasury bond markets and weakly co-moves …

This paper examines the impact of the COVID-19 pandemic on 51 major stock markets, both
emerging and developed. We isolated the countries susceptible to shock transmissions, and …

Unlike previous studies, we employ a relatively newer modelling technique—a time-varying
copula with a switching dependence—to characterise the conditional dependence between …

To comprehensively investigate information transmission and risk contagion among global
environmental, social, and governance (ESG) stock markets, this paper employs the TVP …

This paper investigates the dynamic dependence and risk spillover between BRICS stock
returns and different types of oil shocks, combining the Structural VAR model and time …

This paper analyses the dynamic dependence between WTI crude oil and the exchange
rates of the United States and China, taking structural changes of dependence into account …

In this paper, we explore the impact of uncertainties on energy prices by measuring four
types of Delta Conditional Value-at-Risk (∆ CoVaR) using six time-varying copulas. Three …

The link between energy and agricultural markets have been studied extensively in the last
two decades. Nonetheless, the literature fails to consider the effects of geopolitical risks …