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

Bitcoin was launched to solve the distrust and uncertainty in the existing financial system.
Here we investigate risk spillover effect from economic policy uncertainty (EPU) to Bitcoin …

In this paper, we propose a novel approach to examine the risk spillovers between FinTech
firms and traditional financial institutions, during a time of fast technological advances …

This study investigates the connectedness between renewable energy cryptocurrencies and
various energy categories, focusing on extreme downside risk or tail risk. The research …

We investigate the interconnectedness and systemic risk of China's financial institutions by
constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly …

This study measures the static and dynamic crash risk connections across ESG networks
from 2015 to 2020, using the generalized vector autoregressive framework. In particular, it …

The aim of this study is to examine the extreme return spillovers among the US stock market
sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional …

This paper employs a new framework, the high-dimensional conditional Value-at-Risk
(CoVaR) connectedness based on the LASSO-VAR model, to explore the conditional …

This paper investigates the systemic risk spillovers and connectedness in the sectoral tail
risk network of Chinese stock market, and explores the transmission mechanism of systemic …

This paper investigates how the COVID-19 pandemic affects the connectedness network of
stock market volatility in 19 economies around the world. Our method builds on the Diebold …