This paper investigates the volatility spillover effect among the Chinese economic policy
uncertainty index, stock markets, gold and oil by employing the time-varying parameter …

Understanding how contagion works among financial institutions is a top priority for
regulators and policy makers who aim to foster financial stability and to prevent financial …

This study schemes to explore novel insights from crisis risk spillovers and volatility
connectedness among climate change, renewable energy, technological innovation, and …

Uncovering the risk-transmitting path within economic sectors in China is crucial for
understanding the stability of the Chinese economic system, especially under the current …

Following generalized variance decomposition, we identify the transmission structure of
financial shock among ten sectors in China. Then, we examine whether economic policy …

This paper examines the long‐term evolution of the linkages of the insurance sector with
financial and nonfinancial companies. We develop a measure of connectedness using a …

This paper quantitatively examines return transmission and volatility spillovers between
banking sector stocks in the US and eight other countries by applying our newly extended …

Decentralized finance (DeFi) has become of significant interest for investors in both the
financial and digital sectors. We use a time-varying parameter vector autoregression (TVP …

This study proposes a directed acyclic graph (DAG)-based framework for generalized
variance decomposition for investigating the heterogeneous return spillovers in financial …

Financial markets are widely believed to be complex systems where interdependencies
exist among individual entities in the system enabling the risk spillover effect. The detrended …