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David Gabauer

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Elie Bouri & David Gabauer & Rangan Gupta & Harald Kinateder, 2023. "Geopolitical Risk and Inflation Spillovers across European and North American Economies," Working Papers 202304, University of Pretoria, Department of Economics.

    Cited by:

    1. Korzeb, Zbigniew & Niedziółka, Paweł & Nistor, Simona, 2023. "Sovereign creditworthiness and bank foreign ownership. An empirical investigation of the European banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    2. Aharon, David Y. & Aziz, Mukhriz Izraf Azman & Nor, Safwan Mohd, 2023. "Cross-country study of the linkages between COVID-19, oil prices, and inflation in the G7 countries," Finance Research Letters, Elsevier, vol. 57(C).
    3. Bouri, Elie & Nekhili, Ramzi & Kinateder, Harald & Choudhury, Tonmoy, 2023. "Expected inflation and U.S. stock sector indices: A dynamic time-scale tale from inflationary and deflationary crisis periods," Finance Research Letters, Elsevier, vol. 55(PA).

  2. Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2021. "Interest Rate Swaps and the Transmission Mechanism of Monetary Policy: A Quantile Connectedness Approach," Working Papers in Economics & Finance 2021-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    2. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    3. Liu, Jiatong & Zhu, You & Wang, Gang-Jin & Xie, Chi & Wang, Qilin, 2024. "Risk contagion of NFT: A time-frequency risk spillover perspective in the Carbon-NFT-Stock system," Finance Research Letters, Elsevier, vol. 59(C).
    4. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    5. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    6. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    7. Rao, Amar & Lucey, Brian & Kumar, Satish & Lim, Weng Marc, 2023. "Do green energy markets catch cold when conventional energy markets sneeze?," Energy Economics, Elsevier, vol. 127(PA).
    8. Le, Trung H. & Pham, Linh & Do, Hung X., 2023. "Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications," Energy Economics, Elsevier, vol. 124(C).
    9. Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta, 2024. "How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence," Working Papers 202405, University of Pretoria, Department of Economics.
    10. Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
    11. Khalfaoui, Rabeh & Hammoudeh, Shawkat & Rehman, Mohd Ziaur, 2023. "Spillovers and connectedness among BRICS stock markets, cryptocurrencies, and uncertainty: Evidence from the quantile vector autoregression network," Emerging Markets Review, Elsevier, vol. 54(C).
    12. Xu, Hao & Li, Songsong, 2023. "What impacts foreign capital flows to China's stock markets? Evidence from financial risk spillover networks," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 559-577.
    13. Rehman, Mobeen Ur & Vo, Xuan Vinh & Ko, Hee-Un & Ahmad, Nasir & Kang, Sang Hoon, 2023. "Quantile connectedness between Chinese stock and commodity futures markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    14. Lu, Chengwu & Zafar, Muhammad Wasif & Cevik, Emrah I. & Destek, Mehmet Akif & Bugan, Mehmet Fatih, 2023. "Time and quantile domain connectedness between the geopolitical risk of China and precious metals markets," Resources Policy, Elsevier, vol. 85(PA).
    15. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
    16. Urom, Christian, 2023. "Time–frequency dependence and connectedness between financial technology and green assets," International Economics, Elsevier, vol. 175(C), pages 139-157.
    17. Alexis Stenfors & Mehrdaad Doraghi & Cristina Soviany & Masayuki Susai & Kaveh Vakili, 2022. "Cross-Market Spoofing," Working Papers in Economics & Finance 2022-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    18. Dhoha Mellouli & Imen Zoglami, 2024. "The Dynamics of Connectivity between Traditional Cryptocurrencies and NFTs: Validation of the Connectivity Model by Quantiles and Frequencies," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(1), pages 131-154.
    19. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
    20. Eva Hromadkova & Ivana Kubicova & Branislav Saxa, 2023. "How Does Interest Rate Pass-Through Change Over Time? Rolling Windows and the Role of the Credit Risk Premium in the Pricing of Czech Loans," Research and Policy Notes 2023/02, Czech National Bank.
    21. Guangxi Cao & Fei Xie, 2024. "Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2155-2175, April.
    22. Abakah, Emmanuel Joel Aikins & Adeabah, David & Tiwari, Aviral Kumar & Abdullah, Mohammad, 2023. "Effect of Russia–Ukraine war sentiment on blockchain and FinTech stocks," International Review of Financial Analysis, Elsevier, vol. 90(C).
    23. Alexis Stenfors & Lilian Muchimba, 2023. "The Transmission Mechanism of Stress in the International Banking System," Working Papers in Economics & Finance 2023-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    24. Urom, Christian & Ndubuisi, Gideon, 2023. "Do geopolitical risks and global market factors influence the dynamic dependence among regional sustainable investments and major commodities?," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 94-111.
    25. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Aarzoo Sharma & Dorika Jeremiah Mwamtambulo, 2022. "Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors," JRFM, MDPI, vol. 15(10), pages 1-17, October.
    26. Nong, Huifu & Liu, Hongxiao, 2023. "Measuring the frequency and quantile connectedness between policy categories and global oil price," Resources Policy, Elsevier, vol. 83(C).
    27. Si Mohammed, Kamel & Tedeschi, Marco & Mallek, Sabrine & Tarczyńska-Łuniewska, Małgorzata & Zhang, Anqi, 2023. "Realized semi variance quantile connectedness between oil prices and stock market: Spillover from Russian-Ukraine clash," Resources Policy, Elsevier, vol. 85(PA).
    28. Adewuyi, Adeolu O. & Adeleke, Musefiu A. & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel, 2023. "Dynamic linkages between shipping and commodity markets: Evidence from a novel asymmetric time-frequency method," Resources Policy, Elsevier, vol. 83(C).
    29. Alexis Stenfors & Kaveesha Dilshani & Andy Guo & Peter Mere, 2023. "A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market," Working Papers in Economics & Finance 2023-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    30. Mohd Ziaur Rehman & Shabeer Khan & Uzair Abdullah Khan & Wadi B. Alonazi & Abul Ala Noman, 2023. "How Do Global Uncertainties Spillovers Affect Leading Renewable Energy Indices? Evidence from the Network Connectedness Approach," Sustainability, MDPI, vol. 15(18), pages 1-15, September.
    31. Sharif, Arshian & Brahim, Mariem & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "Analysis of the spillover effects between green economy, clean and dirty cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    32. Madaleno, Mara & Taskin, Dilvin & Dogan, Eyup & Tzeremes, Panayiotis, 2023. "A dynamic connectedness analysis between rare earth prices and renewable energy," Resources Policy, Elsevier, vol. 85(PB).
    33. Chishti, Muhammad Zubair & Sinha, Avik & Zaman, Umer & Shahzad, Umer, 2023. "Exploring the dynamic connectedness among energy transition and its drivers: Understanding the moderating role of global geopolitical risk," Energy Economics, Elsevier, vol. 119(C).
    34. Shahzad, Umer & Ghaemi Asl, Mahdi & Tedeschi, Marco, 2023. "Is there any market state-dependent contribution from Blockchain-enabled solutions to ESG investments? Evidence from conventional and Islamic ESG stocks," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 139-154.
    35. Joaqui-Barandica, Orlando & Oviedo-Gómez, Andres & Manotas-Duque, Diego F., 2023. "Directional predictability between interest rates and the Stoxx 600 Banks index: A quantile approach," Finance Research Letters, Elsevier, vol. 58(PA).
    36. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    37. Lilian Muchimba & Mimoza Shabani & Alexis Stenfors & Jan Toporowski, 2024. "Decomposing the Rate of Inflation: Price-Setting and Monetary Policy," Working Papers in Economics & Finance 2024-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    38. Le, Thanh Ha, 2023. "Quantile time-frequency connectedness between cryptocurrency volatility and renewable energy volatility during the COVID-19 pandemic and Ukraine-Russia conflicts," Renewable Energy, Elsevier, vol. 202(C), pages 613-625.
    39. Shabeer Khan & Mirzat Ullah & Mohammad Rahim Shahzad & Uzair Abdullah Khan & Umair Khan & Sayed M. Eldin & Abeer M. Alotaibi, 2022. "Spillover Connectedness among Global Uncertainties and Sectorial Indices of Pakistan: Evidence from Quantile Connectedness Approach," Sustainability, MDPI, vol. 14(23), pages 1-16, November.
    40. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
    41. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
    42. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
    43. Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Adekoya, Oluwasegun B. & Oteng-Abayie, Eric Fosu, 2023. "An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
    44. Chishti, Muhammad Zubair & Dogan, Eyup & Zaman, Umer, 2023. "Effects of the circular economy, environmental policy, energy transition, and geopolitical risk on sustainable electricity generation," Utilities Policy, Elsevier, vol. 82(C).
    45. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Chi‐Chuan Lee & Matthew Ntow‐Gyamfi, 2023. "Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 187-205, March.
    46. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    47. Jian, Zhihong & Lu, Haisong & Zhu, Zhican & Xu, Huiling, 2023. "Frequency heterogeneity of tail connectedness: Evidence from global stock markets," Economic Modelling, Elsevier, vol. 125(C).
    48. Khalfaoui, Rabeh & Stef, Nicolae & Wissal, Ben Arfi & Sami, Ben Jabeur, 2022. "Dynamic spillover effects and connectedness among climate change, technological innovation, and uncertainty: Evidence from a quantile VAR network and wavelet coherence," Technological Forecasting and Social Change, Elsevier, vol. 181(C).
    49. Zhao, Wandi & Gao, Yang, 2024. "Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion," Emerging Markets Review, Elsevier, vol. 59(C).
    50. Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2021. "The Evolution of Monetary Policy Focal Points," Working Papers in Economics & Finance 2021-10, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    51. Xiaohong Qi & Guofu Zhang & Yuqi Wang, 2022. "Distributional Predictability and Quantile Connectedness of New Energy, Steam Coal, and High-Tech in China," Sustainability, MDPI, vol. 14(21), pages 1-16, October.
    52. Asadi, Mehrad & Tiwari, Aviral Kumar & Gholami, Samad & Ghasemi, Hamid Reza & Roubaud, David, 2023. "Understanding interconnections among steel, coal, iron ore, and financial assets in the US and China using an advanced methodology," International Review of Financial Analysis, Elsevier, vol. 89(C).
    53. Zhang, He & Gong, Zhenting & Yang, Yunglieh & Chen, Fan, 2023. "Dynamic connectedness between China green bond, carbon market and traditional financial markets: Evidence from quantile connectedness approach," Finance Research Letters, Elsevier, vol. 58(PC).
    54. Urom, C. & Ndubuisi, Gideon & Guesmi, K., 2022. "Quantile return and volatility connectedness among Non-Fungible Tokens (NFTs) and (un)conventional asset," MERIT Working Papers 2022-017, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    55. Ling Lin & Qiumei Li & Jin Li & Zuominyang Zhang & Xuan Zhong, 2023. "Industry Volatility and Employment Extreme Risk Transmission: Evidence from China," Sustainability, MDPI, vol. 15(17), pages 1-22, August.
    56. Ghaemi Asl, Mahdi & Raheem, Ibrahim D. & Rashidi, Muhammad Mahdi, 2023. "Do stochastic risks flow between industrial and precious metals, Islamic stocks, green bonds, green stocks, clean investments, major foreign exchange rates, and Bitcoin?," Resources Policy, Elsevier, vol. 86(PA).
    57. Liu, Min & Liu, Hong-Fei & Lee, Chien-Chiang, 2024. "An empirical study on the response of the energy market to the shock from the artificial intelligence industry," Energy, Elsevier, vol. 288(C).
    58. Lilian Muchimba, 2022. "Connectedness of money market instruments: A time-varying vector autoregression approach," Working Papers in Economics & Finance 2022-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    59. Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
    60. Li, Yanshuang & Shi, Yujie & Shi, Yongdong & Yi, Shangkun & Zhang, Weiping, 2023. "COVID-19 vaccinations and risk spillovers: Evidence from Asia-Pacific stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
    61. Abdullah, Mohammad & Adeabah, David & Abakah, Emmanuel Joel Aikins & Lee, Chi-Chuan, 2023. "Extreme return and volatility connectedness among real estate tokens, REITs, and other assets: The role of global factors and portfolio implications," Finance Research Letters, Elsevier, vol. 56(C).
    62. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    63. Dhoha Mellouli Ellouz Siwar, 2023. "Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 77-96.
    64. Li, Zheng-Zheng & Li, Yameng & Huang, Chia-Yun & Peculea, Adelina Dumitrescu, 2023. "Volatility spillover across Chinese carbon markets: Evidence from quantile connectedness method," Energy Economics, Elsevier, vol. 119(C).
    65. Kai‐Hua Wang & Zu‐Shan Wang & Hong‐Wen Liu & Xin Li, 2023. "Economic policy uncertainty and geopolitical risk: evidence from China and Southeast Asia," Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 37(2), pages 96-118, November.
    66. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.
    67. Abricha, Amal & Ben Amar, Amine & Bellalah, Makram, 2024. "Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 229-246.

  3. Afees A. Salisu & Christian Pierdzioch & Rangan Gupta & David Gabauer, 2021. "Forecasting Stock-Market Tail Risk and Connectedness in Advanced Economies Over a Century: The Role of Gold-to-Silver and Gold-to-Platinum Price Ratios," Working Papers 202161, University of Pretoria, Department of Economics.

    Cited by:

    1. Riza Demirer & David Gabauer & Rangan Gupta & Joshua Nielsen, 2023. "Gold-to-Platinum Price Ratio and the Predictability of Bubbles in Financial Markets," Working Papers 202317, University of Pretoria, Department of Economics.
    2. Kyriazis, Nikolaos A. & Papadamou, Stephanos & Tzeremes, Panayiotis, 2023. "Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?," Economic Modelling, Elsevier, vol. 128(C).
    3. Wang, Jiashun & Wang, Jiqian & Ma, Feng, 2024. "International commodity market and stock volatility predictability: Evidence from G7 countries," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 62-71.
    4. Choi, Insu & Kim, Woo Chang, 2023. "Estimating Historical Downside Risks of Global Financial Market Indices via Inflation Rate-Adjusted Dependence Graphs," Research in International Business and Finance, Elsevier, vol. 66(C).

  4. Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2021. "The Evolution of Monetary Policy Focal Points," Working Papers in Economics & Finance 2021-10, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. Alberola, Enrique & Cheng, Gong & Consiglio, Andrea & Zenios, Stavros A., 2023. "Unconventional monetary policy and debt sustainability in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 69(C).
    2. Alexis Stenfors & Kaveesha Dilshani & Andy Guo & Peter Mere, 2023. "A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market," Working Papers in Economics & Finance 2023-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    3. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    4. Lilian Muchimba & Mimoza Shabani & Alexis Stenfors & Jan Toporowski, 2024. "Decomposing the Rate of Inflation: Price-Setting and Monetary Policy," Working Papers in Economics & Finance 2024-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    5. Lilian Muchimba, 2022. "Connectedness of money market instruments: A time-varying vector autoregression approach," Working Papers in Economics & Finance 2022-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

  5. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Climate Risks and Forecasting Stock-Market Returns in Advanced Economies Over a Century," Working Papers 202183, University of Pretoria, Department of Economics.

    Cited by:

    1. Massimiliano Caporin & Petre Caraiani & Oguzhan Cepni & Rangan Gupta, 2024. "Predicting the Conditional Distribution of US Stock Market Systemic Stress: The Role of Climate Risks," Working Papers 202407, University of Pretoria, Department of Economics.
    2. Onur Polat & Rangan Gupta & Oguzhan Cepni & Qiang Ji, 2024. "Can Municipal Bonds Hedge US State-Level Climate Risks?," Working Papers 202419, University of Pretoria, Department of Economics.
    3. Kejin Wu & Sayar Karmakar & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Stock Market Volatility Over a Century in an Emerging Market Economy: The Case of South Africa," Working Papers 202326, University of Pretoria, Department of Economics.
    4. Matteo Foglia & Vasilios Plakandaras & Rangan Gupta & Qiang Ji, 2024. "Long-Span Multi-Layer Spillovers between Moments of Advanced Equity Markets: The Role of Climate Risks," Working Papers 202415, University of Pretoria, Department of Economics.

  6. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.

    Cited by:

    1. Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," Working Papers 202133, University of Pretoria, Department of Economics.

  7. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.

    Cited by:

    1. Wang, Yihan & Bouri, Elie & Fareed, Zeeshan & Dai, Yuhui, 2022. "Geopolitical risk and the systemic risk in the commodity markets under the war in Ukraine," Finance Research Letters, Elsevier, vol. 49(C).
    2. Mensi, Walid & Gubareva, Mariya & Teplova, Tamara & Kang, Sang Hoon, 2023. "Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    3. Liu, Jian & Chen, Yan & Liao, Shufei & Cheng, Cheng & Fu, Yongge, 2023. "Information spillovers in Hong Kong REITs and related asset markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 215-229.
    4. Walid Mensi & Mariya Gubareva & Hee-Un Ko & Xuan Vinh Vo & Sang Hoon Kang, 2023. "Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
    5. Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).
    6. Shixuan Wang & Rangan Gupta & Matteo Bonato & Oguzhan Cepni, 2022. "The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks," Working Papers 202219, University of Pretoria, Department of Economics.
    7. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
    8. Kim Hiang Liow, 2022. "Exploring a Three-Factor Dependence Structure of Conditional Volatilities: Some Quantile Regression Evidence from Real Estate Investment Trusts," JRFM, MDPI, vol. 15(6), pages 1-13, May.
    9. Hanif, Waqas & Andraz, Jorge Miguel & Gubareva, Mariya & Teplova, Tamara, 2024. "Are REITS hedge or safe haven against oil price fall?," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1-16.
    10. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    11. Xiaoyang Chen & Liguo Zhou & Lin Wang & Yuelong Zheng, 2023. "Risk spillover in China’s real estate industry chain: a DCC-EGARCH-ΔCoVaR model," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-16, December.
    12. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).

  8. Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.

    Cited by:

    1. Sisa Shiba & Juncal Cunado & Rangan Gupta, 2022. "Predictability of the Realised Volatility of International Stock Markets Amid Uncertainty Related to Infectious Diseases," JRFM, MDPI, vol. 15(1), pages 1-18, January.
    2. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran, 2023. "Dynamic spillovers and portfolio risk management between defi and metals: Empirical evidence from the Covid-19," Resources Policy, Elsevier, vol. 83(C).
    3. Ghosh, Bikramaditya & Pham, Linh & Teplova, Tamara & Umar, Zaghum, 2023. "COVID-19 and the quantile connectedness between energy and metal markets," Energy Economics, Elsevier, vol. 117(C).

  9. Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2021. "Independent Policy, Dependent Outcomes: A Game of Cross-Country Dominoes across European Yield Curves," Working Papers in Economics & Finance 2021-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    2. Alexis Stenfors & Mehrdaad Doraghi & Cristina Soviany & Masayuki Susai & Kaveh Vakili, 2022. "Cross-Market Spoofing," Working Papers in Economics & Finance 2022-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    3. Alexis Stenfors & Lilian Muchimba, 2023. "The Transmission Mechanism of Stress in the International Banking System," Working Papers in Economics & Finance 2023-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    4. Alexis Stenfors & Kaveesha Dilshani & Andy Guo & Peter Mere, 2023. "A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market," Working Papers in Economics & Finance 2023-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    5. Shahzad, Umer & Ghaemi Asl, Mahdi & Panait, Mirela & Sarker, Tapan & Apostu, Simona Andreea, 2023. "Emerging interaction of artificial intelligence with basic materials and oil & gas companies: A comparative look at the Islamic vs. conventional markets," Resources Policy, Elsevier, vol. 80(C).
    6. Lilian Muchimba & Mimoza Shabani & Alexis Stenfors & Jan Toporowski, 2024. "Decomposing the Rate of Inflation: Price-Setting and Monetary Policy," Working Papers in Economics & Finance 2024-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    7. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
    8. Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2021. "The Evolution of Monetary Policy Focal Points," Working Papers in Economics & Finance 2021-10, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    9. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    10. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi & Shapir, Offer Moshe, 2023. "Cross-currency basis swap spreads and corporate dollar funding," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    11. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).

  10. Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.

    Cited by:

    1. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    2. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    3. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    4. Hoque, Mohammad Enamul & Soo-Wah, Low & Tiwari, Aviral Kumar & Akhter, Tahmina, 2023. "Time and frequency domain connectedness and spillover among categorical and regional financial stress, gold and bitcoin market," Resources Policy, Elsevier, vol. 85(PA).
    5. Furuoka, Fumitaka & Yaya, OlaOluwa Simon & Ling, Pui Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023. "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," Resources Policy, Elsevier, vol. 81(C).
    6. Cagli, Efe Caglar, 2023. "The volatility spillover between battery metals and future mobility stocks: Evidence from the time-varying frequency connectedness approach," Resources Policy, Elsevier, vol. 86(PA).
    7. Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
    8. Gao, Wang & Zhang, Haizhen & Zhang, Hongwei & Yang, Shixiong, 2024. "The role of G7 and BRICS country risks on critical metals: Evidence from time- and frequency-domain approach," Resources Policy, Elsevier, vol. 88(C).
    9. Adewuyi, Adeolu O. & Adeleke, Musefiu A. & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel, 2023. "Dynamic linkages between shipping and commodity markets: Evidence from a novel asymmetric time-frequency method," Resources Policy, Elsevier, vol. 83(C).
    10. Huang, Jionghao & Chen, Baifan & Xu, Yushi & Xia, Xiaohua, 2023. "Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach," Finance Research Letters, Elsevier, vol. 53(C).
    11. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    12. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century," Mathematics, MDPI, vol. 11(9), pages 1-21, April.
    13. Jinxin Cui & Aktham Maghyereh, 2022. "Time–frequency co-movement and risk connectedness among cryptocurrencies: new evidence from the higher-order moments before and during the COVID-19 pandemic," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    14. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
    15. Hu, Yang & Lang, Chunlin & Corbet, Shaen & Wang, Junchuan, 2024. "The impact of COVID-19 on the volatility connectedness of the Chinese tourism sector," Research in International Business and Finance, Elsevier, vol. 68(C).
    16. Wu, You & Ren, Wenting & Wan, Jieru & Liu, Xiaoxue, 2023. "Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    17. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    18. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).
    19. Qian Wang & Yu Wei & Yifeng Zhang & Yuntong Liu, 2023. "Evaluating the Safe-Haven Abilities of Bitcoin and Gold for Crude Oil Market: Evidence During the COVID-19 Pandemic," Evaluation Review, , vol. 47(3), pages 391-432, June.

  11. Elie Bouri & Oguzhan Cepni & David Gabauer & Rangan Gupta, 2020. "Return Connectedness across Asset Classes around the COVID-19 Outbreak," Working Papers 202047, University of Pretoria, Department of Economics.

    Cited by:

    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    3. Zheng, Jinlin & Wen, Baoyu & Jiang, Yaohui & Wang, Xiaohan & Shen, Yue, 2023. "Risk spillovers across geopolitical risk and global financial markets," Energy Economics, Elsevier, vol. 127(PA).
    4. Vidal-Tomás, David, 2022. "The new crypto niche: NFTs, play-to-earn, and metaverse tokens," MPRA Paper 111351, University Library of Munich, Germany.
    5. Kang, Sang Hoon & Arreola Hernandez, Jose & Rehman, Mobeen Ur & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2023. "Spillovers and hedging between US equity sectors and gold, oil, islamic stocks and implied volatilities," Resources Policy, Elsevier, vol. 81(C).
    6. Yen-Chang Chen & Ying-Sing Liu, 2023. "Market Efficiency and Stock Investment Loss Aversion Guide During COVID-19 Pandemic Events: The Case for Applying Data Mining," SAGE Open, , vol. 13(4), pages 21582440231, December.
    7. Hasan, Mohammad Maruf & Du, Fang, 2023. "The role of foreign trade and technology innovation on economic recovery in China: The mediating role of natural resources development," Resources Policy, Elsevier, vol. 80(C).
    8. Rubbaniy, Ghulame & Khalid, Ali Awais & Syriopoulos, Konstantinos & Samitas, Aristeidis, 2022. "Safe-haven properties of soft commodities during times of Covid-19," Journal of Commodity Markets, Elsevier, vol. 27(C).
    9. Abuzayed, Bana & Bouri, Elie & Al-Fayoumi, Nedal & Jalkh, Naji, 2021. "Systemic risk spillover across global and country stock markets during the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 180-197.
    10. Shah, Adil Ahmad & Dar, Arif Billah, 2021. "Exploring diversification opportunities across commodities and financial markets: Evidence from time-frequency based spillovers," Resources Policy, Elsevier, vol. 74(C).
    11. Willem Thorbecke, 2022. "Understanding the transmission of COVID-19 news to French financial markets in early 2020," International Economics, CEPII research center, issue 170, pages 103-114.
    12. Hongjun Zeng & Ran Lu & Abdullahi D. Ahmed, 2023. "Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 49-87, March.
    13. Goodell, John W. & Yadav, Miklesh Prasad & Ruan, Junhu & Abedin, Mohammad Zoynul & Malhotra, Nidhi, 2023. "Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war," Finance Research Letters, Elsevier, vol. 58(PA).
    14. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    15. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    16. Migliavacca, Milena & Goodell, John W. & Paltrinieri, Andrea, 2023. "A bibliometric review of portfolio diversification literature," International Review of Financial Analysis, Elsevier, vol. 90(C).
    17. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector," International Review of Financial Analysis, Elsevier, vol. 90(C).
    18. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    19. Carlos David Cardona-Arenas & Rafael Gómez-Gómez & Eliana Morales-Zuluaga, 2023. "COVID-19 and its short-term informational impact on the stock markets of the Pacific Alliance countries," SN Business & Economics, Springer, vol. 3(5), pages 1-23, May.
    20. Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    21. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
    22. Patel, Ritesh & Kumar, Sanjeev & Bouri, Elie & Iqbal, Najaf, 2023. "Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 143-162.
    23. Zhang, Zhiyuan & Sun, Qinglin & Ma, Yongfan, 2022. "The hedge and safe haven properties of non-fungible tokens (NFTs): Evidence from the nonlinear autoregressive distributed lag (NARDL) model," Finance Research Letters, Elsevier, vol. 50(C).
    24. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    25. Castillo, Brenda & León, Ángel & Ñíguez, Trino-Manuel, 2021. "Backtesting VaR under the COVID-19 sudden changes in volatility," Finance Research Letters, Elsevier, vol. 43(C).
    26. Rangan Gupta & Sayar Karmakar & Christian Pierdzioch, 2022. "Safe Havens, Machine Learning, and the Sources of Geopolitical Risk: A Forecasting Analysis Using Over a Century of Data," Working Papers 202201, University of Pretoria, Department of Economics.
    27. Umar, Zaghum & Adekoya, Oluwasegun Babatunde & Oliyide, Johnson Ayobami & Gubareva, Mariya, 2021. "Media sentiment and short stocks performance during a systemic crisis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    28. Maghyereh, Aktham & Awartani, Basel & Virk, Nader S., 2022. "Asymmetric risk transmissions between oil, gold and US equities: Recent evidence from the realized variance of the futures prices," Resources Policy, Elsevier, vol. 79(C).
    29. Okhrin, Yarema & Uddin, Gazi Salah & Yahya, Muhammad, 2023. "Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets," Energy Economics, Elsevier, vol. 125(C).
    30. Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022. "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
    31. Jiasha Fu & Hui Qiao, 2022. "The Time-Varying Connectedness Between China’s Crude Oil Futures and International Oil Markets: A Return and Volatility Spillover Analysis," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 341-376, December.
    32. Yang, Ming-Yuan & Chen, Zhanghangjian & Liang, Zongzheng & Li, Sai-Ping, 2023. "Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events," Journal of Commodity Markets, Elsevier, vol. 32(C).
    33. González, Maria de la O. & Jareño, Francisco & Skinner, Frank S., 2021. "Asymmetric interdependencies between large capital cryptocurrency and Gold returns during the COVID-19 pandemic crisis," International Review of Financial Analysis, Elsevier, vol. 76(C).
    34. Enilov, Martin & Mensi, Walid & Stankov, Petar, 2023. "Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic," Journal of Commodity Markets, Elsevier, vol. 29(C).
    35. Mohd Ziaur Rehman & Shabeer Khan & Ghulam Abbas & Mohammed Alhashim, 2023. "Novel COVID-19 Outbreak and Global Uncertainty in the Top-10 Affected Countries: Evidence from Wavelet Coherence Approach," Sustainability, MDPI, vol. 15(6), pages 1-20, March.
    36. Juan Antonio Galán-Gutiérrez & Rodrigo Martín-García, 2022. "Fundamentals vs. Financialization during Extreme Events: From Backwardation to Contango, a Copper Market Analysis during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(4), pages 1-23, February.
    37. Asadi, Mehrad & Balcilar, Mehmet & Sheikh, Umaid A. & Roubaud, David & Ghasemi, Hamid Reza, 2023. "Are there inextricable connections among automobile stocks, crude oil, steel, and the US dollar?," Energy Economics, Elsevier, vol. 128(C).
    38. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan & Vo, Xuan Vinh, 2023. "Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?," Journal of Financial Stability, Elsevier, vol. 65(C).
    39. Yousaf, Imran & Hunjra, Ahmed Imran & Alshater, Muneer M. & Bouri, Elie & Li, Yanshuang, 2023. "Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    40. Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    41. Farid, Saqib & Kayani, Ghulam Mujtaba & Naeem, Muhammad Abubakr & Shahzad, Syed Jawad Hussain, 2021. "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic," Resources Policy, Elsevier, vol. 72(C).
    42. Cui Zhang & Xiongjin Feng & Yanzhen Wang, 2022. "Technology Spillovers among Innovation Agents from the Perspective of Network Connectedness," Mathematics, MDPI, vol. 10(16), pages 1-17, August.
    43. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
    44. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    45. Dong, Zibing & Li, Yanshuang & Zhuang, Xintian & Wang, Jian, 2022. "Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    46. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
    47. Pedro Antonio González & José Luis Gallizo, 2021. "Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction," JRFM, MDPI, vol. 14(11), pages 1-24, November.
    48. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Razvan Gabriel Hapau & Mihaela Gruiescu & Oana Mihaela Vacaru (Boita), 2023. "Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets," Mathematics, MDPI, vol. 11(3), pages 1-50, January.
    49. Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
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    52. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
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    54. He, Jingbin & Ma, Xinru & Wei, Qu, 2022. "Firm-level short selling and the local COVID-19 pandemic: Evidence from China," Economic Modelling, Elsevier, vol. 113(C).
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    60. Afees A. Salisu & Riza Demirer & Rangan Gupta, 2021. "Financial Turbulence, Systemic Risk and the Predictability of Stock Market Volatility," Working Papers 202162, University of Pretoria, Department of Economics.
    61. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Aarzoo Sharma & Dorika Jeremiah Mwamtambulo, 2022. "Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors," JRFM, MDPI, vol. 15(10), pages 1-17, October.
    62. JEBABLI, Ikram & KOUAISSAH, Noureddine & AROURI, Mohamed, 2022. "Volatility Spillovers between Stock and Energy Markets during Crises: A Comparative Assessment between the 2008 Global Financial Crisis and the Covid-19 Pandemic Crisis," Finance Research Letters, Elsevier, vol. 46(PA).
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    2. Fasanya, Ismail O. & Oyewole, Oluwatomisin J. & Oliyide, Johnson A., 2022. "Investors' sentiments and the dynamic connectedness between cryptocurrency and precious metals markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 347-364.
    3. Thomas F. P. Wiesen & Lakshya Bharadwaj, 2023. "Cryptocurrency Connectedness: Does Controlling for the Cross-Correlations Matter?," Applied Economics Letters, Taylor & Francis Journals, vol. 30(20), pages 2873-2880, November.
    4. Bejaoui, Azza & Frikha, Wajdi & Jeribi, Ahmed & Bariviera, Aurelio F., 2023. "Connectedness between emerging stock markets, gold, cryptocurrencies, DeFi and NFT: Some new evidence from wavelet analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 619(C).
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    22. Fasanya, Ismail & Adekoya, Oluwasegun & Oyewole, Oluwatomisin & Adegboyega, Soliu, 2022. "Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    23. Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2024. "A U-shaped relationship between the crypto fear-greed index and the price synchronicity of cryptocurrencies," Finance Research Letters, Elsevier, vol. 59(C).
    24. Mishra, Aswini Kumar & Ghate, Kshitish, 2022. "Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches," Resources Policy, Elsevier, vol. 76(C).
    25. Esparcia, Carlos & Escribano, Ana & Jareño, Francisco, 2023. "Did cryptomarket chaos unleash Silvergate's bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    26. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    27. Osman, Myriam Ben & Urom, Christian & Guesmi, Khaled & Benkraiem, Ramzi, 2024. "Economic sentiment and the cryptocurrency market in the post-COVID-19 era," International Review of Financial Analysis, Elsevier, vol. 91(C).
    28. Al-Shboul, Mohammad & Assaf, Ata & Mokni, Khaled, 2022. "When bitcoin lost its position: Cryptocurrency uncertainty and the dynamic spillover among cryptocurrencies before and during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 83(C).

  13. Riza Demirer & David Gabauer & Rangan Gupta & Qiang Ji, 2020. "Monetary Policy and Speculative Spillovers in Financial Markets," Working Papers 202032, University of Pretoria, Department of Economics.

    Cited by:

    1. Zhang, Mi & Sensoy, Ahmet & Cheng, Feiyang & Zhao, Xuankai, 2022. "Three channels of monetary policy international transmission: Identifying spillover effects from the US to China," Research in International Business and Finance, Elsevier, vol. 61(C).
    2. Renee van Eyden & Rangan Gupta & Joshua Nielsen & Elie Bouri, 2022. "Investor Sentiment and Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries," Working Papers 202256, University of Pretoria, Department of Economics.
    3. Umar, Zaghum & Adekoya, Oluwasegun Babatunde & Oliyide, Johnson Ayobami & Gubareva, Mariya, 2021. "Media sentiment and short stocks performance during a systemic crisis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    4. Gupta, Rangan & Sheng, Xin & Pierdzioch, Christian & Ji, Qiang, 2021. "Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics," Research in International Business and Finance, Elsevier, vol. 58(C).
    5. Rangan Gupta & Xin Sheng & Christian Pierdzioch & Qiang Ji, 2021. "Disaggregated Oil Shocks and Stock-Market Tail Risks: Evidence from a Panel of 48 Countries," Working Papers 202106, University of Pretoria, Department of Economics.
    6. Naeem, Muhammad Abubakr & Karim, Sitara & Tiwari, Aviral Kumar, 2022. "Quantifying systemic risk in US industries using neural network quantile regression," Research in International Business and Finance, Elsevier, vol. 61(C).
    7. Caraiani, Petre & Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua, 2023. "Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 133-155.

  14. Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2020. "Time-Varying Influence of Household Debt on Inequality in United Kingdom," Working Papers 202017, University of Pretoria, Department of Economics.

    Cited by:

    1. Deng, Xin & Yu, Mingzhe, 2021. "Does the marginal child increase household debt? – Evidence from the new fertility policy in China," International Review of Financial Analysis, Elsevier, vol. 77(C).
    2. Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    3. Cepni, Oguzhan & Emirmahmutoglu, Furkan & Guney, Ibrahim Ethem & Yilmaz, Muhammed Hasan, 2023. "Do the carry trades respond to geopolitical risks? Evidence from BRICS countries," Economic Systems, Elsevier, vol. 47(2).

  15. Oguzhan Cepni & David Gabauer & Rangan Gupta & Khuliso Ramabulana, 2020. "Time-Varying Spillover of US Trade War on the Growth of Emerging Economies," Working Papers 202002, University of Pretoria, Department of Economics.

    Cited by:

    1. Çepni, Oğuzhan & Gül, Selçuk & Hacıhasanoğlu, Yavuz Selim & Yılmaz, Muhammed Hasan, 2020. "Global uncertainties and portfolio flow dynamics of the BRICS countries," Research in International Business and Finance, Elsevier, vol. 54(C).
    2. Layal Mansour-Ichrakieh, 2021. "The Impact of Israeli and Saudi Arabian Geopolitical Risks on the Lebanese Financial Market," JRFM, MDPI, vol. 14(3), pages 1-24, February.

  16. Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020. "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance 2020-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    2. Terence Tai Leung Chong & Yueer Wu & Jue Su, 2020. "The Unusual Trading Volume and Earnings Surprises in China’s Market," JRFM, MDPI, vol. 13(10), pages 1-17, October.
    3. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    4. Luo, Jiawen & Marfatia, Hardik A. & Ji, Qiang & Klein, Tony, 2023. "Co-volatility and asymmetric transmission of risks between the global oil and China's futures markets," Energy Economics, Elsevier, vol. 117(C).
    5. Rabbani, Mustafa Raza & Billah, Syed Mabruk & Shaik, Muneer & Rahman, Mashuk & Boujlil, Rhada, 2023. "Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets," Global Finance Journal, Elsevier, vol. 58(C).
    6. Nekhili, Ramzi & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2024. "Dynamic spillover and connectedness in higher moments of European stock sector markets," Research in International Business and Finance, Elsevier, vol. 68(C).

  17. Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.

    Cited by:

    1. Niţoi, Mihai & Pochea, Maria Miruna, 2022. "The nexus between bank connectedness and investors’ sentiment," Finance Research Letters, Elsevier, vol. 44(C).

  18. David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.

    Cited by:

    1. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    2. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    3. Alexis Stenfors & Lilian Muchimba, 2023. "The Transmission Mechanism of Stress in the International Banking System," Working Papers in Economics & Finance 2023-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    4. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    5. Renee van Eyden & Rangan Gupta & Christophe Andre & Xin Sheng, 2021. "The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data," Working Papers 202131, University of Pretoria, Department of Economics.
    6. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    7. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
    8. Pham, Linh & Hao, Wei & Truong, Ha & Trinh, Hai Hong, 2023. "The impact of climate policy on U.S. environmentally friendly firms: A firm-level examination of stock return, volatility, volume, and connectedness," Energy Economics, Elsevier, vol. 119(C).
    9. Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
    10. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).

  19. Ioannis Chatziantoniou & David Gabauer, 2019. "EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness," Working Papers in Economics & Finance 2019-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    2. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    3. Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
    4. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    5. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    6. Khan, Khalid & Su, Chi Wei & Koseoglu, Sinem Derindere, 2022. "Who are the influencers in the commodity markets during COVID-19?," Resources Policy, Elsevier, vol. 78(C).
    7. Rao, Amar & Lucey, Brian & Kumar, Satish & Lim, Weng Marc, 2023. "Do green energy markets catch cold when conventional energy markets sneeze?," Energy Economics, Elsevier, vol. 127(PA).
    8. Giannellis, Nikolaos, 2022. "Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model," Research in International Business and Finance, Elsevier, vol. 63(C).
    9. Lean, Hooi Hooi & Alkhazali, Osamah M. & Gleason, Kimberley & Yeap, Xiu Wei, 2024. "Connectedness and economic policy uncertainty spillovers to the ASEAN stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 167-186.
    10. Panagiotis Palaios & Evangelia Papapetrou, 2022. "Oil prices, labour market adjustment and dynamic quantile connectedness analysis: evidence from Greece during the crisis," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-21, December.
    11. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021. "Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach," Economics Letters, Elsevier, vol. 204(C).
    12. Muneer Shaik & Mohd Ziaur Rehman, 2023. "The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 231-246, March.
    13. Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
    14. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    15. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    16. Lu, Chengwu & Zafar, Muhammad Wasif & Cevik, Emrah I. & Destek, Mehmet Akif & Bugan, Mehmet Fatih, 2023. "Time and quantile domain connectedness between the geopolitical risk of China and precious metals markets," Resources Policy, Elsevier, vol. 85(PA).
    17. Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    18. Aharon, David Y. & Umar, Zaghum & Aziz, Mukhriz Izraf Azman & Vo, Xuan vinh, 2022. "COVID-19 related media sentiment and the yield curve of G-7 economies," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    19. Kamal, Javed Bin & Wohar, Mark & Kamal, Khaled Bin, 2022. "Do gold, oil, equities, and currencies hedge economic policy uncertainty and geopolitical risks during covid crisis?," Resources Policy, Elsevier, vol. 78(C).
    20. Syeda Beena Zaidi & Abidullah Khan & Shabeer Khan & Mohd Ziaur Rehman & Wadi B. Alonazi & Abul Ala Noman, 2023. "Connectedness between Pakistan’s Stock Markets with Global Factors: An Application of Quantile VAR Network Model," Mathematics, MDPI, vol. 11(19), pages 1-17, October.
    21. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    22. Aharon, David Y. & Qadan, Mahmoud, 2022. "Infection, invasion, and inflation: Recent lessons," Finance Research Letters, Elsevier, vol. 50(C).
    23. Kapar, Burcu & Billah, Syed Mabruk & Rana, Faisal & Balli, Faruk, 2024. "An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1442-1467.
    24. Ersan, Oguz & Demir, Ender & Assaf, Ata, 2022. "Connectedness among fan tokens and stocks of football clubs," Research in International Business and Finance, Elsevier, vol. 63(C).
    25. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    26. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2023. "Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 114-123.
    27. Chuliá, Helena & Klein, Tony & Muñoz Mendoza, Jorge A. & Uribe, Jorge M., 2024. "Vulnerability of European electricity markets: A quantile connectedness approach," Energy Policy, Elsevier, vol. 184(C).
    28. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
    29. Raza, Syed Ali & Sharif, Arshian & Kumar, Satish & Ahmed, Maiyra, 2023. "Connectedness between monetary policy uncertainty and sectoral stock market returns: Evidence from asymmetric TVP-VAR approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    30. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    31. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
    32. Shahzad, Umer & Ghaemi Asl, Mahdi & Tedeschi, Marco, 2023. "Is there any market state-dependent contribution from Blockchain-enabled solutions to ESG investments? Evidence from conventional and Islamic ESG stocks," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 139-154.
    33. Joaqui-Barandica, Orlando & Oviedo-Gómez, Andres & Manotas-Duque, Diego F., 2023. "Directional predictability between interest rates and the Stoxx 600 Banks index: A quantile approach," Finance Research Letters, Elsevier, vol. 58(PA).
    34. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    35. Shahzad, Umer & Ghaemi Asl, Mahdi & Panait, Mirela & Sarker, Tapan & Apostu, Simona Andreea, 2023. "Emerging interaction of artificial intelligence with basic materials and oil & gas companies: A comparative look at the Islamic vs. conventional markets," Resources Policy, Elsevier, vol. 80(C).
    36. Lastrapes, William D. & Wiesen, Thomas F.P., 2021. "The joint spillover index," Economic Modelling, Elsevier, vol. 94(C), pages 681-691.
    37. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    38. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
    39. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
    40. Wael Hemrit & Noureddine Benlagha & Racha Ben Arous & Mounira Ben Arab, 2023. "Exploring the time‐frequency connectedness among non‐fungible tokens and developed stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(4), pages 192-207, October.
    41. Tiantian Liu & Shigeyuki Hamori, 2021. "Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach," Energies, MDPI, vol. 14(12), pages 1-21, June.
    42. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    43. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
    44. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
    45. Adekoya, Oluwasegun B. & Akinseye, Ademola B. & Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David & Oliyide, Johnson, 2022. "Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies," Resources Policy, Elsevier, vol. 78(C).
    46. Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
    47. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
    48. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    49. Ghaemi Asl, Mahdi & Raheem, Ibrahim D. & Rashidi, Muhammad Mahdi, 2023. "Do stochastic risks flow between industrial and precious metals, Islamic stocks, green bonds, green stocks, clean investments, major foreign exchange rates, and Bitcoin?," Resources Policy, Elsevier, vol. 86(PA).
    50. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    51. Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
    52. Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022. "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, vol. 44(C).
    53. Liu, Min & Liu, Hong-Fei & Lee, Chien-Chiang, 2024. "An empirical study on the response of the energy market to the shock from the artificial intelligence industry," Energy, Elsevier, vol. 288(C).
    54. Gabauer, David, 2021. "Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    55. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.
    56. Guo, Jin & Tanaka, Tetsuji, 2022. "Do biofuel production and financial speculation in agricultural commodities influence African food prices? New evidence from a TVP-VAR extended joint connectedness approach," Energy Economics, Elsevier, vol. 116(C).
    57. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    58. Chen, Ruoyu & Iqbal, Najaf & Irfan, Muhammad & Shahzad, Farrukh & Fareed, Zeeshan, 2022. "Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model," Resources Policy, Elsevier, vol. 77(C).
    59. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
    60. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).

  20. Ioannis Chatziantoniou & David Gabauer & Alexis Stenfors, 2019. "From CIP-Deviations to a Market for Risk Premia: A Dynamic Investigation of Cross-Currency Basis Swaps," Working Papers in Economics & Finance 2019-05, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. Lilian Muchimba & Alexis Stenfors, 2020. "Beyond LIBOR: Money Markets and the Illusion of Representativeness," Working Papers in Economics & Finance 2020-13, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    2. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021. "Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach," Economics Letters, Elsevier, vol. 204(C).
    3. Alexis Stenfors & Mehrdaad Doraghi & Cristina Soviany & Masayuki Susai & Kaveh Vakili, 2022. "Cross-Market Spoofing," Working Papers in Economics & Finance 2022-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    4. Alexis Stenfors & Lilian Muchimba, 2023. "The Transmission Mechanism of Stress in the International Banking System," Working Papers in Economics & Finance 2023-03, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    5. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Aarzoo Sharma & Dorika Jeremiah Mwamtambulo, 2022. "Extreme Connectedness between Green Bonds, Government Bonds, Corporate Bonds and Other Asset Classes: Insights for Portfolio Investors," JRFM, MDPI, vol. 15(10), pages 1-17, October.
    6. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    7. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    8. Wang, Jie & Liu, Tangyong & Pan, Na, 2023. "Analyzing quantile spillover effects among international financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    9. Alexis Stenfors & Kaveesha Dilshani & Andy Guo & Peter Mere, 2023. "A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market," Working Papers in Economics & Finance 2023-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    10. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    11. Lilian Muchimba & Mimoza Shabani & Alexis Stenfors & Jan Toporowski, 2024. "Decomposing the Rate of Inflation: Price-Setting and Monetary Policy," Working Papers in Economics & Finance 2024-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    12. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
    13. Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2021. "The Evolution of Monetary Policy Focal Points," Working Papers in Economics & Finance 2021-10, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    14. Lilian Muchimba, 2022. "Connectedness of money market instruments: A time-varying vector autoregression approach," Working Papers in Economics & Finance 2022-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    15. Bazán, Walter & Ortiz, Marco & Terrones, Marco & Winkelried, Diego, 2023. "CIP deviations: The role of U.S. banks’ liquidity and regulations," MPRA Paper 118600, University Library of Munich, Germany.
    16. David-Pur, Lior & Galil, Koresh & Rosenboim, Mosi & Shapir, Offer Moshe, 2023. "Cross-currency basis swap spreads and corporate dollar funding," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).

  21. Christina Christou & David Gabauer & Rangan Gupta, 2019. "Time-Varying Impact of Uncertainty Shocks on Macroeconomic Variables of the United Kingdom: Evidence from Over 150 Years of Monthly Data," Working Papers 201962, University of Pretoria, Department of Economics.

    Cited by:

    1. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
    2. Afees A. Salisu & Rangan Gupta & Sayar Karmakar & Sonali Das, 2021. "Forecasting Output Growth of Advanced Economies Over Eight Centuries: The Role of Gold Market Volatility as a Proxy of Global Uncertainty," Working Papers 202133, University of Pretoria, Department of Economics.
    3. Ding, Xiaoli & Cheng, Sang & Qin, Wenjing & Gu, Xin, 2023. "Does uncertainty affect graduates’ decision to relocate for work? Evidence at China’s city level," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 10-19.
    4. Qin, Yun & Chen, Jinyu & Dong, Xuesong, 2021. "Oil prices, policy uncertainty and travel and leisure stocks in China," Energy Economics, Elsevier, vol. 96(C).
    5. Esmaeili, Parisa & Rafei, Meysam, 2021. "Dynamics analysis of factors affecting electricity consumption fluctuations based on economic conditions: Application of SVAR and TVP-VAR models," Energy, Elsevier, vol. 226(C).
    6. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    7. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.
    8. Bush, Georgia & López Noria, Gabriela, 2021. "Uncertainty and exchange rate volatility: Evidence from Mexico," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 704-722.
    9. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2021. "The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom," Working Papers 202168, University of Pretoria, Department of Economics.
    10. Rangan Gupta & Christian Pierdzioch & Afees A. Salisu, 2020. "Oil-Price Uncertainty and the U.K. Unemployment Rate: A Forecasting Experiment with Random Forests Using 150 Years of Data," Working Papers 202095, University of Pretoria, Department of Economics.

  22. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2019. "A Regional Decomposition of US Housing Prices and Volume: Market Dynamics and Economic Diversification Opportunities," Working Papers in Economics & Finance 2019-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

    Cited by:

    1. David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.

  23. David Gabauer & Rangan Gupta, 2019. "Spillovers across Macroeconomic, Financial and Real Estate Uncertainties: A Time-Varying Approach," Working Papers 201944, University of Pretoria, Department of Economics.

    Cited by:

    1. Apostolakis, George N. & Floros, Christos & Giannellis, Nikolaos, 2022. "On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 156-176.
    2. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    3. Saban Nazlioglu & Rangan Gupta & Alper Gormus & Ugur Soytas, 2019. "Price and Volatility Linkages between International REITs and Oil Markets," Working Papers 201954, University of Pretoria, Department of Economics.
    4. Golitsis, Petros & Gkasis, Pavlos & Bellos, Sotirios K., 2022. "Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    5. Mehmet Balcilar & Rangan Gupta & Ricardo M. Sousa & Mark E. Wohar, 2020. "Linking U.S. State-Level Housing Market Returns and the Consumption-(Dis)Aggregate Wealth Ratio," Working Papers 202094, University of Pretoria, Department of Economics.
    6. Dogah, Kingsley E., 2021. "Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEAN," Economic Modelling, Elsevier, vol. 104(C).
    7. Renee van Eyden & Rangan Gupta & Christophe Andre & Xin Sheng, 2021. "The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data," Working Papers 202131, University of Pretoria, Department of Economics.
    8. Syed Jawad Hussain Shahzad & Rangan Gupta & Riza Demirer & Christian Pierdzioch, 2022. "Oil shocks and directional predictability of macroeconomic uncertainties of developed economies: Evidence from high‐frequency data†," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(2), pages 169-185, May.
    9. Wang, Kai-Hua & Kan, Jia-Min & Qiu, Lianhong & Xu, Shulin, 2023. "Climate policy uncertainty, oil price and agricultural commodity: From quantile and time perspective," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 256-272.
    10. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    11. Benjamin Kwakye & Chan Tze Haw, 2020. "Interplay of the Macroeconomy and Real Estate: Systematic Review of Literature," International Journal of Economics and Financial Issues, Econjournals, vol. 10(5), pages 262-271.
    12. Mário Nuno Mata & Muhammad Najib Razali & Sónia R. Bentes & Isabel Vieira, 2021. "Volatility Spillover Effect of Pan-Asia’s Property Portfolio Markets," Mathematics, MDPI, vol. 9(12), pages 1-20, June.
    13. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
    14. Lukasz Mach & Dariusz Zmarzly & Ireneusz Dabrowski & Pawel Fracz, 2020. "Comparison on Subannual Seasonality of Building Construction in European Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 241-257.
    15. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
    16. Le, Thai Hong & Luong, Anh Tram, 2022. "Dynamic spillovers between oil price, stock market, and investor sentiment: Evidence from the United States and Vietnam," Resources Policy, Elsevier, vol. 78(C).
    17. Rangan Gupta & Chi Keung Marco Lau & Jacobus A Nel & Xin Sheng, 2020. "Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains," Working Papers 202005, University of Pretoria, Department of Economics.
    18. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.
    19. Bouri, Elie & Saeed, Tareq & Vo, Xuan Vinh & Roubaud, David, 2021. "Quantile connectedness in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 71(C).
    20. Zhang, Jiahao & Zhang, Yifeng & Wei, Yu & Wang, Zhuo, 2024. "Normal and extreme impact and connectedness between fossil energy futures markets and uncertainties: Does El Niño-Southern Oscillation matter?," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 188-215.

  24. Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.

    Cited by:

    1. Siphumlile Mangisa & Sonali Das & Rangan Gupta, 2022. "Analyzing The Impact Of Brexit On Global Uncertainty Using Functional Linear Regression With Point Of Impact: The Role Of Currency And Equity Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 67(04), pages 1377-1388, June.
    2. Gupta, Rangan & Lau, Chi-Keung (Marco) & Sheng, Xin, 2020. "Graph theory-based network analysis of regional uncertainties of the US Economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    3. Christina Christou & Giray Gozgor & Rangan Gupta & Chi keung Marco Lau, 2020. "Are Uncertainties across the World Convergent?," Economics Bulletin, AccessEcon, vol. 40(1), pages 855-862.
    4. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2022. "The dynamics and determinants of liquidity connectedness across financial asset markets," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 341-358.
    5. Rangan Gupta & Chi Keung Marco Lau & Jacobus A Nel & Xin Sheng, 2020. "Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains," Working Papers 202005, University of Pretoria, Department of Economics.
    6. Rangan Gupta & Chi-Keung (Marco) Lau & Xin Sheng, 2019. "Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model," Working Papers 201910, University of Pretoria, Department of Economics.
    7. Śmiech, Sławomir & Papież, Monika, 2018. "Volatility spillovers among uncertainty measures. The case of EU member states," MPRA Paper 90319, University Library of Munich, Germany.

  25. Sowmya Subramaniam & David Gabauer & Rangan Gupta, 2018. "On the Transmission Mechanism of Asia-Pacific Yield Curve Characteristics," Working Papers 201864, University of Pretoria, Department of Economics.

    Cited by:

    1. Qin, Weiping & Cho, Sungjun & Hyde, Stuart, 2023. "Time-varying bond market integration and the impact of financial crises," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020. "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance 2020-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    3. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).

  26. Nikolaos Antonakakis & David Gabauer & Rangan Gupta & Vasilios Plakandaras, 2018. "Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach," Working Papers 201802, University of Pretoria, Department of Economics.

    Cited by:

    1. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Dai, Zhifeng & Zhu, Haoyang & Zhang, Xinhua, 2022. "Dynamic spillover effects and portfolio strategies between crude oil, gold and Chinese stock markets related to new energy vehicle," Energy Economics, Elsevier, vol. 109(C).
    3. Elsayed, Ahmed H. & Gozgor, Giray & Lau, Chi Keung Marco, 2022. "Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties," International Review of Financial Analysis, Elsevier, vol. 81(C).
    4. Cui Jinxin & Zou Huiwen, 2020. "Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives," Journal of Systems Science and Information, De Gruyter, vol. 8(5), pages 401-433, October.
    5. Jaewon Jung, 2023. "Multinational Firms and Economic Integration: The Role of Global Uncertainty," Sustainability, MDPI, vol. 15(3), pages 1-18, February.
    6. Dai, Zhifeng & Peng, Yongxin, 2022. "Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    7. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    8. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    9. Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
    10. Aviral Kumar Tiwari & Micheal Kofi Boachie & Rangan Gupta, 2019. "Network Analysis of Economic and Financial Uncertainties in Advanced Economies: Evidence from Graph-Theory," Working Papers 201982, University of Pretoria, Department of Economics.
    11. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    12. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    13. Duan, Kun & Zhao, Yanqi & Urquhart, Andrew & Huang, Yingying, 2023. "Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty," Energy Economics, Elsevier, vol. 127(PA).
    14. Dai, Zhifeng & Zhu, Haoyang, 2023. "Dynamic risk spillover among crude oil, economic policy uncertainty and Chinese financial sectors," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 421-450.
    15. Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    16. Qi, Xiaohong & Zhang, Guofu, 2022. "Dynamic connectedness of China’s green bonds and asset classes," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    17. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    18. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
    19. Hong, Yun & Qu, Bo & Yang, Zhuohang & Jiang, Yanhui, 2023. "The contagion of fake news concern and extreme stock market risks during the COVID-19 period," Finance Research Letters, Elsevier, vol. 58(PA).
    20. Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    21. Gabauer, David & Gupta, Rangan, 2020. "Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 167-173.
    22. Afees A. Salisu & Rangan Gupta & Idris A. Adediran, 2021. "The Effect of US Uncertainty Shock on International Equity Markets: The Role of the Global Financial Cycle," Working Papers 202136, University of Pretoria, Department of Economics.
    23. Siphumlile Mangisa & Sonali Das & Rangan Gupta, 2022. "Analyzing The Impact Of Brexit On Global Uncertainty Using Functional Linear Regression With Point Of Impact: The Role Of Currency And Equity Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 67(04), pages 1377-1388, June.
    24. Pawan Kumar & Vipul Kumar Singh, 2023. "Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 99-121, March.
    25. Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "The Financial US Uncertainty Spillover Multiplier: Evidence from a GVAR Model," Working Papers 202145, University of Pretoria, Department of Economics.
    26. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les & Xu, Danyang, 2021. "Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 55-81.
    27. Apostolakis, George N. & Floros, Christos & Giannellis, Nikolaos, 2022. "On bank return and volatility spillovers: Identifying transmitters and receivers during crisis periods," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 156-176.
    28. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    29. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    30. Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    31. Yousaf, Imran & Hunjra, Ahmed Imran & Alshater, Muneer M. & Bouri, Elie & Li, Yanshuang, 2023. "Multidimensional connectedness among the volatility of global financial markets around the Russian-Ukrainian conflict," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    32. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2021. "Stress Spillovers among Financial Markets: Evidence from Spain," JRFM, MDPI, vol. 14(11), pages 1-21, November.
    33. Besma Hkiri & Juncal Cunado & Mehmet Balcilar & Rangan Gupta, 2019. "Time-Varying Relationship between Conventional and Unconventional Monetary Policies and Risk Aversion: International Evidence from Time- and Frequency-Domains," Working Papers 201965, University of Pretoria, Department of Economics.
    34. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
    35. Chen, Bin-xia & Sun, Yan-lin, 2024. "Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    36. Dong, Zibing & Li, Yanshuang & Zhuang, Xintian & Wang, Jian, 2022. "Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    37. Aharon, David Y. & Umar, Zaghum & Aziz, Mukhriz Izraf Azman & Vo, Xuan vinh, 2022. "COVID-19 related media sentiment and the yield curve of G-7 economies," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    38. Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Khan, Muhammad A., 2021. "Economic policy uncertainty and the volatility connectedness between oil shocks and metal market: An extension," International Economics, Elsevier, vol. 167(C), pages 136-150.
    39. Qi, Haozhi & Ma, Lijun & Peng, Pin & Chen, Hao & Li, Kang, 2022. "Dynamic connectedness between clean energy stock markets and energy commodity markets during times of COVID-19: Empirical evidence from China," Resources Policy, Elsevier, vol. 79(C).
    40. Andrada-Félix, Julián & Fernandez-Perez, Adrian & Sosvilla-Rivero, Simón, 2020. "Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    41. Wan, Yang & He, Shi, 2021. "Dynamic connectedness of currencies in G7 countries: A Bayesian time-varying approach," Finance Research Letters, Elsevier, vol. 41(C).
    42. Mahdi Ghaemi Asl & Oluwasegun B. Adekoya & Muhammad Mahdi Rashidi, 2023. "Quantiles dependence and dynamic connectedness between distributed ledger technology and sectoral stocks: enhancing the supply chain and investment decisions with digital platforms," Annals of Operations Research, Springer, vol. 327(1), pages 435-464, August.
    43. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    44. Liu, Pan & Power, Gabriel J. & Vedenov, Dmitry, 2021. "Fair-weather Friends? Sector-specific volatility connectedness and transmission," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 712-736.
    45. OlaOluwa S. Yaya & Nurudeen Abu & Tayo P. Ogundunmade, 2021. "Economic policy uncertainty in G7 countries: evidence of long-range dependence and cointegration," Economic Change and Restructuring, Springer, vol. 54(2), pages 541-556, May.
    46. Dai, Zhifeng & Zhu, Haoyang, 2022. "Time-varying spillover effects and investment strategies between WTI crude oil, natural gas and Chinese stock markets related to belt and road initiative," Energy Economics, Elsevier, vol. 108(C).
    47. Aharon, David Y. & Qadan, Mahmoud, 2022. "Infection, invasion, and inflation: Recent lessons," Finance Research Letters, Elsevier, vol. 50(C).
    48. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
    49. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2021. "Uncertainty and Forecastability of Regional Output Growth in the United Kingdom: Evidence from Machine Learning," Working Papers 202111, University of Pretoria, Department of Economics.
    50. Christophe Andre & David Gabauer & Rangan Gupta, 2020. "Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States," Working Papers 202091, University of Pretoria, Department of Economics.
    51. Chan, Ying Tung & Qiao, Hui, 2023. "Volatility spillover between oil and stock prices: Structural connectedness based on a multi-sector DSGE model approach with Bayesian estimation," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 265-286.
    52. Chen, Hao & Xu, Chao & Peng, Yun, 2022. "Time-frequency connectedness between energy and nonenergy commodity markets during COVID-19: Evidence from China," Resources Policy, Elsevier, vol. 78(C).
    53. Vladimir Balash & Alexey Faizliev & Sergei Sidorov & Elena Chistopolskaya, 2021. "Conditional Time-Varying General Dynamic Factor Models and Its Application to the Measurement of Volatility Spillovers across Russian Assets," Mathematics, MDPI, vol. 9(19), pages 1-31, October.
    54. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    55. Gupta, Rangan & Lau, Chi-Keung (Marco) & Sheng, Xin, 2020. "Graph theory-based network analysis of regional uncertainties of the US Economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    56. Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2020. "Dynamic Connectedness And Spillovers Across Sectors: Evidence From The Indian Stock Market," Working Papers in Economics & Finance 2020-04, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    57. Dogah, Kingsley E., 2021. "Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEAN," Economic Modelling, Elsevier, vol. 104(C).
    58. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "International monetary policy spillovers: Evidence from a time-varying parameter vector autoregression," International Review of Financial Analysis, Elsevier, vol. 65(C).
    59. Chenlu Tao & Gang Diao & Baodong Cheng, 2021. "The Dynamic Impact of the COVID-19 Pandemic on Air Quality: The Beijing Lessons," IJERPH, MDPI, vol. 18(12), pages 1-12, June.
    60. Wen, Fenghua & Cao, Jiahui & Liu, Zhen & Wang, Xiong, 2021. "Dynamic volatility spillovers and investment strategies between the Chinese stock market and commodity markets," International Review of Financial Analysis, Elsevier, vol. 76(C).
    61. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
    62. Nikolaos Antonakakis & David Gabauer & Rangan Gupta, 2018. "Greek Economic Policy Uncertainty: Does it Matter for the European Union?," Working Papers 201840, University of Pretoria, Department of Economics.
    63. Thobekile Qabhobho & Anokye M. Adam & Anthony Adu-Asare Idun & Emmanuel Asafo-Adjei & Ebenezer Boateng, 2023. "Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 272-283, March.
    64. Faruk Balli & Mabruk Billah & Iftekhar Chowdhury, 2023. "Impact of the Russia–Ukraine war on hospitality equity markets," Tourism Economics, , vol. 29(8), pages 2206-2215, December.
    65. Liuguo Shao & Hua Zhang & Senfeng Chang & Ziyang Wang, 2024. "Dynamic connectedness between China's commodity markets and China's sectoral stock markets: A multidimensional analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 903-926, January.
    66. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "Volatility spillovers during market supply shocks: The case of negative oil prices," Resources Policy, Elsevier, vol. 74(C).
    67. Li, Xiao-Lin & Yan, Jing & Wei, Xiaohui, 2021. "Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 640-652.
    68. Nong, Huifu, 2021. "Have cross-category spillovers of economic policy uncertainty changed during the US–China trade war?," Journal of Asian Economics, Elsevier, vol. 74(C).
    69. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
    70. Michael Donadelli & Ivan Gufler, 2021. "Consumption smoothing, risk sharing and financial integration," The World Economy, Wiley Blackwell, vol. 44(1), pages 143-187, January.
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    40. Christophe Andre & David Gabauer & Rangan Gupta, 2020. "Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States," Working Papers 202091, University of Pretoria, Department of Economics.
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Articles

  1. Juncal Cunado & David Gabauer & Rangan Gupta, 2024. "Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-17, December.
    See citations under working paper version above.
  2. Gabauer, David & Gupta, Rangan & Marfatia, Hardik A. & Miller, Stephen M., 2024. "Estimating U.S. housing price network connectedness: Evidence from dynamic Elastic Net, Lasso, and ridge vector autoregressive models," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 349-362.
    See citations under working paper version above.
  3. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).

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    1. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    2. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    3. Sohag, Kazi & Kalina, Irina & Elsayed, Ahmed H., 2023. "Financial stress in Russia: Exploring the impact of oil market shocks," Resources Policy, Elsevier, vol. 86(PB).
    4. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).
    5. Kong, Fanna & Gao, Zhuoqiong & Oprean-Stan, Camelia, 2023. "Green bond in China: An effective hedge against global supply chain pressure?," Energy Economics, Elsevier, vol. 128(C).
    6. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    7. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).

  4. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).

    Cited by:

    1. Zhu, Zongyuan & Luo, Qingtian, 2023. "Inter-industry risk spillover, role reversal, and economic stability," Finance Research Letters, Elsevier, vol. 57(C).
    2. Zheng, Jinlin & Wen, Baoyu & Jiang, Yaohui & Wang, Xiaohan & Shen, Yue, 2023. "Risk spillovers across geopolitical risk and global financial markets," Energy Economics, Elsevier, vol. 127(PA).
    3. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).

  5. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).

    Cited by:

    1. Alexis Stenfors & Kaveesha Dilshani & Andy Guo & Peter Mere, 2023. "A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market," Working Papers in Economics & Finance 2023-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    2. Oguzhan Cepni & Rangan Gupta & Christian Pierdzioch, 2024. "Forecasting Growth-at-Risk of the United States: Housing Price versus Housing Sentiment or Attention," Working Papers 202401, University of Pretoria, Department of Economics.
    3. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).
    4. Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
    5. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    6. Abakah, Emmanuel Joel Aikins & Hossain, Sahib & Abdullah, Mohammad & Goodell, John W., 2024. "Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach," Finance Research Letters, Elsevier, vol. 59(C).

  6. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).

    Cited by:

    1. Lyu, Yongjian & Zhang, Xinyu & Cao, Jin & Liu, Jiatao & Yang, Mo, 2024. "Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3," Journal of International Money and Finance, Elsevier, vol. 140(C).
    2. Kyriazis, Nikolaos A. & Papadamou, Stephanos & Tzeremes, Panayiotis, 2023. "Are benchmark stock indices, precious metals or cryptocurrencies efficient hedges against crises?," Economic Modelling, Elsevier, vol. 128(C).

  7. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2023. "Climate Risks and Forecasting Stock Market Returns in Advanced Economies over a Century," Mathematics, MDPI, vol. 11(9), pages 1-21, April.
    See citations under working paper version above.
  8. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2023. "Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 114-123.

    Cited by:

    1. Lyu, Yongjian & Zhang, Xinyu & Cao, Jin & Liu, Jiatao & Yang, Mo, 2024. "Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3," Journal of International Money and Finance, Elsevier, vol. 140(C).
    2. Yugang He, 2023. "Unraveling the COVID-19 Pandemic’s Impact on South Korea’s Macroeconomy: Unearthing Novel Transmission Channels within the Energy Sector and Production Technologies," Energies, MDPI, vol. 16(9), pages 1-10, April.
    3. Li, Dongxin & Zhang, Feipeng & Yuan, Di & Cai, Yuan, 2024. "Does COVID-19 impact the dependence between oil and stock markets? Evidence from RCEP countries," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 909-939.
    4. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
    5. Liu, Feng & Xu, Jie & Ai, Chunrong, 2023. "Heterogeneous impacts of oil prices on China's stock market: Based on a new decomposition method," Energy, Elsevier, vol. 268(C).
    6. Hanif, Waqas & Mensi, Walid & Alomari, Mohammad & Andraz, Jorge Miguel, 2023. "Downside and upside risk spillovers between precious metals and currency markets: Evidence from before and during the COVID-19 crisis," Resources Policy, Elsevier, vol. 81(C).
    7. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
    8. Umar, Zaghum & Bossman, Ahmed, 2023. "Quantile connectedness between oil price shocks and exchange rates," Resources Policy, Elsevier, vol. 83(C).
    9. Naeem, Muhammad Abubakr & Husain, Afzol & Bossman, Ahmed & Karim, Sitara, 2024. "Assessing the linkage of energy cryptocurrency with clean and dirty energy markets," Energy Economics, Elsevier, vol. 130(C).
    10. Zhang, Jiahao & Chen, Xiaodan & Wei, Yu & Bai, Lan, 2023. "Does the connectedness among fossil energy returns matter for renewable energy stock returns? Fresh insights from the Cross-Quantilogram analysis," International Review of Financial Analysis, Elsevier, vol. 88(C).
    11. Lin, Weinan & Ouyang, Ruolan & Zhang, Xuan & Zhuang, Chengkai, 2023. "Network analysis of international financial markets contagion based on volatility indexes," Finance Research Letters, Elsevier, vol. 56(C).
    12. Tamilselvan, M. & Halder, Abhishek & Kannadhasan, M., 2024. "Exploring the ingredients, mixtures, and inclinations of geopolitical risk," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 187-206.
    13. Xi, Zenglei & Yu, Jinxiu & Sun, Qingru & Zhao, Wenqi & Wang, He & Zhang, Shuo, 2023. "Measuring the multi-scale price transmission effects from crude oil to energy stocks: A cascaded view," International Review of Financial Analysis, Elsevier, vol. 90(C).
    14. Huszár, Zsuzsa R. & Kotró, Balázs B. & Tan, Ruth S.K., 2023. "Dynamic volatility transfer in the European oil and gas industry," Energy Economics, Elsevier, vol. 127(PA).
    15. Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).

  9. Bouri, Elie & Gabauer, David & Gupta, Rangan & Kinateder, Harald, 2023. "Global geopolitical risk and inflation spillovers across European and North American economies," Research in International Business and Finance, Elsevier, vol. 66(C).

    Cited by:

    1. Raza, Syed Ali & Guesmi, Khaled & Benkraiem, Ramzi & Anwar, Rija, 2024. "Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods," Research in International Business and Finance, Elsevier, vol. 67(PA).
    2. Korzeb, Zbigniew & Niedziółka, Paweł & Nistor, Simona, 2023. "Sovereign creditworthiness and bank foreign ownership. An empirical investigation of the European banking sector," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    3. Aharon, David Y. & Aziz, Mukhriz Izraf Azman & Nor, Safwan Mohd, 2023. "Cross-country study of the linkages between COVID-19, oil prices, and inflation in the G7 countries," Finance Research Letters, Elsevier, vol. 57(C).

  10. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).

    Cited by:

    1. Lyu, Yongjian & Zhang, Xinyu & Cao, Jin & Liu, Jiatao & Yang, Mo, 2024. "Quantitative easing and the spillover effects from the crude oil market to other financial markets: Evidence from QE1 to QE3," Journal of International Money and Finance, Elsevier, vol. 140(C).
    2. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).
    3. Behnam Zakeri & Katsia Paulavets & Leonardo Barreto-Gomez & Luis Gomez Echeverri & Shonali Pachauri & Benigna Boza-Kiss & Caroline Zimm & Joeri Rogelj & Felix Creutzig & Diana Ürge-Vorsatz & David G. , 2022. "Pandemic, War, and Global Energy Transitions," Energies, MDPI, vol. 15(17), pages 1-23, August.
    4. Lucey, Brian & Ren, Boru, 2023. "Time-varying tail risk connectedness among sustainability-related products and fossil energy investments," Energy Economics, Elsevier, vol. 126(C).
    5. Naeem, Muhammad Abubakr & Nguyen, Thi Thu Ha & Karim, Sitara & Lucey, Brian M., 2023. "Extreme downside risk transmission between green cryptocurrencies and energy markets: The diversification benefits," Finance Research Letters, Elsevier, vol. 58(PA).
    6. Marcus Vinicius Santos & Fernando Morgado-Dias & Thiago C. Silva, 2023. "Oil Sector and Sentiment Analysis—A Review," Energies, MDPI, vol. 16(12), pages 1-29, June.
    7. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
    8. Wang, Linyu & Ji, Yifan & Ni, Zhongxin, 2023. "Spillover of stock price crash risk: Do environmental, social and governance (ESG) matter?," International Review of Financial Analysis, Elsevier, vol. 89(C).
    9. Gong, Xiao-Li & Zhao, Min & Wu, Zhuo-Cheng & Jia, Kai-Wen & Xiong, Xiong, 2023. "Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective," Energy Economics, Elsevier, vol. 121(C).
    10. Ren, Boru & Lucey, Brian & Luo, Qirui, 2023. "An examination of green bonds as a hedge and safe haven for international equity markets," Global Finance Journal, Elsevier, vol. 58(C).
    11. Hu, Yang & Lang, Chunlin & Corbet, Shaen & Hou, Yang (Greg) & Oxley, Les, 2023. "Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event," Energy Economics, Elsevier, vol. 125(C).
    12. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
    13. Wang, Tiantian & Wu, Fei & Zhang, Dayong & Ji, Qiang, 2023. "Energy market reforms in China and the time-varying connectedness of domestic and international markets," Energy Economics, Elsevier, vol. 117(C).
    14. Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
    15. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).

  11. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).

    Cited by:

    1. Kamal, Javed Bin & Hassan, M. Kabir, 2022. "Asymmetric connectedness between cryptocurrency environment attention index and green assets," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    2. Ringstad, Ingrid Emilie Flessum & Tselika, Kyriaki, 2023. "Time and frequency dynamics of connectedness between green bonds, clean energy markets and carbon prices," Discussion Papers 2023/18, Norwegian School of Economics, Department of Business and Management Science.
    3. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    4. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Imhotep Paul Alagidede & Shawkat Hammoudeh, 2023. "Nonlinearity in the causality and systemic risk spillover between the OPEC oil and GCC equity markets: a pre- and post-financial crisis analysis," Empirical Economics, Springer, vol. 65(3), pages 1027-1103, September.
    5. Zhao, Congyu & Wang, Jianda & Dong, Kangyin & Wang, Kun, 2023. "How does renewable energy encourage carbon unlocking? A global case for decarbonization," Resources Policy, Elsevier, vol. 83(C).
    6. Zhao, Qian & Qin, Chuan & Ding, Longfei & Cheng, Ying-Yue & Vătavu, Sorana, 2023. "Can green bond improve the investment efficiency of renewable energy?," Energy Economics, Elsevier, vol. 127(PB).
    7. Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
    8. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    9. Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    10. Chen, Yongfei & Wei, Yu & Bai, Lan & Zhang, Jiahao & Wang, Zhuo, 2023. "Connectedness and hedging effects among China's nonferrous metal, crude oil and green bond markets: An extreme perspective," Finance Research Letters, Elsevier, vol. 58(PA).
    11. Ahmed, Walid M.A. & Sleem, Mohamed A.E., 2023. "Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach," Energy Economics, Elsevier, vol. 124(C).
    12. Wei Jiang & Yanyu Zhang, 2023. "Carbon assets and Bitcoin: Hedging roles in global stock markets during the tranquil and turbulent periods?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1183-1203, September.
    13. Qi, Xiaohong & Zhang, Guofu, 2022. "Dynamic connectedness of China’s green bonds and asset classes," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    14. Chen, Jinyu & Liang, Zhipeng & Ding, Qian & Liu, Zhenhua, 2022. "Quantile connectedness between energy, metal, and carbon markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
    15. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Doğan, Buhari & Ghosh, Sudeshna, 2023. "Sustainable debt and gas markets: A new look using the time-varying wavelet-windowed cross-correlation approach," Energy Economics, Elsevier, vol. 120(C).
    16. Zhang, Xinyue & Guo, Xiaopeng & Zhang, Xingping, 2023. "Bidding modes for renewable energy considering electricity-carbon integrated market mechanism based on multi-agent hybrid game," Energy, Elsevier, vol. 263(PA).
    17. Abakah, Emmanuel Joel Aikins & Nasreen, Samia & Tiwari, Aviral Kumar & Lee, Chien-Chiang, 2023. "U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging," International Review of Financial Analysis, Elsevier, vol. 87(C).
    18. Naeem, Muhammad Abubakr & Karim, Sitara & Uddin, Gazi Salah & Junttila, Juha, 2022. "Small fish in big ponds: Connections of green finance assets to commodity and sectoral stock markets," International Review of Financial Analysis, Elsevier, vol. 83(C).
    19. Tiago Trancoso & Sofia Gomes, 2024. "Green Shocks: The Spillover Effects of Green Equity Indices on Global Market Dynamics," Economies, MDPI, vol. 12(4), pages 1-16, April.
    20. Andrés Alonso-Robisco & José Manuel Carbó & José Manuel Marqués, 2023. "Machine Learning methods in climate finance: a systematic review," Working Papers 2310, Banco de España.
    21. Li, Jianfeng & Yao, Xiaoyang & Sun, Guanglin & Li, Jinning & Le, Wei, 2023. "The impact of international carbon-related factors on China's new energy market: Based on different market conditions," Finance Research Letters, Elsevier, vol. 58(PB).
    22. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Adekoya, Oluwasegun B. & Hammoudeh, Shawkat, 2023. "What do we know about the price spillover between green bonds and Islamic stocks and stock market indices?," Global Finance Journal, Elsevier, vol. 55(C).
    23. Lorente, Daniel Balsalobre & Mohammed, Kamel Si & Cifuentes-Faura, Javier & Shahzad, Umer, 2023. "Dynamic connectedness among climate change index, green financial assets and renewable energy markets: Novel evidence from sustainable development perspective," Renewable Energy, Elsevier, vol. 204(C), pages 94-105.
    24. Su, Xianfang & Zhao, Yachao, 2023. "What has the strongest connectedness with clean energy? Technology, substitutes, or raw materials," Energy Economics, Elsevier, vol. 128(C).
    25. David Iheke Okorie & Boqiang Lin, 2024. "Global shocks and fiscal stimulus: a tale of an oil-dependent-exporting country," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-37, December.
    26. Mesut Doğan & Sutbayeva Raikhan & Nurbossynova Zhanar & Bodaukhan Gulbagda, 2023. "Analysis of Dynamic Connectedness Relationships among Clean Energy, Carbon Emission Allowance, and BIST Indexes," Sustainability, MDPI, vol. 15(7), pages 1-13, March.
    27. Guangxi Cao & Fei Xie, 2024. "Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2155-2175, April.
    28. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran & Li, Yanshuang, 2023. "Connectedness and portfolio management between renewable energy tokens and metals: Evidence from TVP-VAR approach," Energy Economics, Elsevier, vol. 127(PA).
    29. Su, Xianfang & Guo, Dawei & Dai, Liang, 2023. "Do green bond and green stock markets boom and bust together? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 89(C).
    30. Si Mohammed, Kamel & Khalfaoui, Rabeh & Doğan, Buhari & Sharma, Gagan Deep & Mentel, Urszula, 2023. "The reaction of the metal and gold resource planning in the post-COVID-19 era and Russia-Ukrainian conflict: Role of fossil fuel markets for portfolio hedging strategies," Resources Policy, Elsevier, vol. 83(C).
    31. Daniel Stefan Armeanu & Stefan Cristian Gherghina & Jean Vasile Andrei & Camelia Catalina Joldes, 2022. "Modeling the impact of the COVID‐19 outbreak on environment, health sector and energy market," Sustainable Development, John Wiley & Sons, Ltd., vol. 30(5), pages 1387-1416, October.
    32. Naeem, Muhammad Abubakr & Karim, Sitara & Farid, Saqib & Tiwari, Aviral Kumar, 2022. "Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 548-562.
    33. Doğan, Buhari & Trabelsi, Nader & Tiwari, Aviral Kumar & Ghosh, Sudeshna, 2023. "Dynamic dependence and causality between crude oil, green bonds, commodities, geopolitical risks, and policy uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 36-62.
    34. Guorong Chen & Shiyi Fang & Qibo Chen & Yun Zhang, 2023. "Risk Spillovers and Network Connectedness between Clean Energy Stocks, Green Bonds, and Other Financial Assets: Evidence from China," Energies, MDPI, vol. 16(20), pages 1-21, October.
    35. Li, Houjian & Huang, Xinya & Guo, Lili, 2023. "Extreme risk dependence and time-varying spillover between crude oil, commodity market and inflation in China," Energy Economics, Elsevier, vol. 127(PB).
    36. Lu, Xunfa & Huang, Nan & Mo, Jianlei & Ye, Zhitao, 2023. "Dynamics of the return and volatility connectedness among green finance markets during the COVID-19 pandemic," Energy Economics, Elsevier, vol. 125(C).
    37. Chaofeng Tang & Kentaka Aruga & Yi Hu, 2023. "The Dynamic Correlation and Volatility Spillover among Green Bonds, Clean Energy Stock, and Fossil Fuel Market," Sustainability, MDPI, vol. 15(8), pages 1-23, April.
    38. Yousaf, Imran & Jareño, Francisco & Martínez-Serna, María-Isabel, 2023. "Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    39. Oliyide, Johnson A. & Adekoya, Oluwasegun B. & Marie, Mohamed & Al-Faryan, Mamdouh Abdulaziz Saleh, 2023. "Green finance and commodities: Cross-market connectedness during different COVID-19 episodes," Resources Policy, Elsevier, vol. 85(PA).
    40. Sohag, Kazi & Sokolova, Yulia & Vilamová, Šárka & Blueschke, Dmitri, 2023. "Volatility transmission from critical minerals prices to green investments," Resources Policy, Elsevier, vol. 82(C).
    41. Yugang He & Ziqian Zhang, 2022. "Energy and Economic Effects of the COVID-19 Pandemic: Evidence from OECD Countries," Sustainability, MDPI, vol. 14(19), pages 1-13, September.
    42. Zhou, Yuqin & Wu, Shan & Zhang, Zeyi, 2022. "Multidimensional risk spillovers among carbon, energy and nonferrous metals markets: Evidence from the quantile VAR network," Energy Economics, Elsevier, vol. 114(C).
    43. Lee, Chien-Chiang & Wang, Fuhao & Lou, Runchi, 2022. "Digital financial inclusion and carbon neutrality: Evidence from non-linear analysis," Resources Policy, Elsevier, vol. 79(C).
    44. Wang, Zi-Xin & Liu, Bing-Yue & Fan, Ying, 2023. "Network connectedness between China's crude oil futures and sector stock indices," Energy Economics, Elsevier, vol. 125(C).
    45. Bai, Lan & Wei, Yu & Zhang, Jiahao & Wang, Yizhi & Lucey, Brian M., 2023. "Diversification effects of China's carbon neutral bond on renewable energy stock markets: A minimum connectedness portfolio approach," Energy Economics, Elsevier, vol. 123(C).
    46. Chang, Lei & Moldir, Mukan & Zhang, Yuan & Nazar, Raima, 2023. "Asymmetric impact of green bonds on energy efficiency: Fresh evidence from quantile estimation," Utilities Policy, Elsevier, vol. 80(C).
    47. Dogan, Eyup & Madaleno, Mara & Taskin, Dilvin & Tzeremes, Panayiotis, 2022. "Investigating the spillovers and connectedness between green finance and renewable energy sources," Renewable Energy, Elsevier, vol. 197(C), pages 709-722.
    48. Ben Amar, Amine & Bouattour, Mondher & Bellalah, Makram & Goutte, Stéphane, 2023. "Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    49. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
    50. Jiang, Wei & Dong, Lingfei & Liu, Xinyi, 2023. "How does COVID-19 affect the spillover effects of green finance, carbon markets, and renewable/non-renewable energy markets? Evidence from China," Energy, Elsevier, vol. 281(C).
    51. Munir Khamis & Dalal Aassouli, 2023. "The Eligibility of Green Bonds as Safe Haven Assets: A Systematic Review," Sustainability, MDPI, vol. 15(8), pages 1-27, April.
    52. Jiasheng Yu & Maojun Zhang & Ruoyu Liu & Guodong Wang, 2023. "Dynamic Effects of Climate Policy Uncertainty on Green Bond Volatility: An Empirical Investigation Based on TVP-VAR Models," Sustainability, MDPI, vol. 15(2), pages 1-17, January.
    53. Guo, Xiaozhu & Wang, Yi & Hao, Yixue & Zhang, Wenwen, 2023. "Spillover effect among carbon bond market, carbon stock market and energy stock market: Evidence from China," Finance Research Letters, Elsevier, vol. 58(PC).
    54. Chang, Lei & Taghizadeh-Hesary, Farhad & Chen, Huangen & Mohsin, Muhammad, 2022. "Do green bonds have environmental benefits?," Energy Economics, Elsevier, vol. 115(C).
    55. Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Adekoya, Oluwasegun B. & Oteng-Abayie, Eric Fosu, 2023. "An analysis of the time-varying causality and dynamic correlation between green bonds and US gas prices," Technological Forecasting and Social Change, Elsevier, vol. 186(PA).
    56. Khalfaoui, Rabeh & Mefteh-Wali, Salma & Dogan, Buhari & Ghosh, Sudeshna, 2023. "Extreme spillover effect of COVID-19 pandemic-related news and cryptocurrencies on green bond markets: A quantile connectedness analysis," International Review of Financial Analysis, Elsevier, vol. 86(C).
    57. Inglesi-Lotz, R. & Dogan, Eyup & Nel, J. & Tzeremes, Panayiotis, 2023. "Connectedness and spillovers in the innovation network of green transportation," Energy Policy, Elsevier, vol. 180(C).
    58. Zhao, Yihang & Zhou, Zhenxi & Zhang, Kaiwen & Huo, Yaotong & Sun, Dong & Zhao, Huiru & Sun, Jingqi & Guo, Sen, 2023. "Research on spillover effect between carbon market and electricity market: Evidence from Northern Europe," Energy, Elsevier, vol. 263(PF).
    59. Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Chi‐Chuan Lee & Matthew Ntow‐Gyamfi, 2023. "Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 187-205, March.
    60. Jing Liu & Xin Ding & Xiaoqian Song & Tao Dong & Aiwen Zhao & Mi Tan, 2023. "Research on the Spillover Effect of China’s Carbon Market from the Perspective of Regional Cooperation," Energies, MDPI, vol. 16(2), pages 1-17, January.
    61. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research," Sustainability, MDPI, vol. 15(20), pages 1-32, October.
    62. Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
    63. Sofia Karagiannopoulou & Grigoris Giannarakis & Emilios Galariotis & Constantin Zopounidis & Nikolaos Sariannidis, 2022. "The Impact of Dow Jones Sustainability Index, Exchange Rate and Consumer Sentiment Index on Carbon Emissions," Sustainability, MDPI, vol. 14(19), pages 1-19, September.
    64. Jing Deng & Jingxuan Lu & Yujie Zheng & Xiaoyun Xing & Cheng Liu & Tao Qin, 2022. "The Impact of the COVID-19 Pandemic on the Connectedness between Green Industries and Financial Markets in China: Evidence from Time-Frequency Domain with Portfolio Implications," Sustainability, MDPI, vol. 14(20), pages 1-24, October.
    65. Kong, Fanna & Gao, Zhuoqiong & Oprean-Stan, Camelia, 2023. "Green bond in China: An effective hedge against global supply chain pressure?," Energy Economics, Elsevier, vol. 128(C).
    66. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Yaya, OlaOluwa S. & Al-Faryan, Mamdouh Abdulaziz Saleh, 2022. "Does oil connect differently with prominent assets during war? Analysis of intra-day data during the Russia-Ukraine saga," Resources Policy, Elsevier, vol. 77(C).
    67. Wang, Kai-Hua & Wen, Cui-Ping & Liu, Hong-Wen & Liu, Lu, 2023. "Promotion or hindrance? Exploring the bidirectional causality between geopolitical risk and green bonds from an energy perspective," Resources Policy, Elsevier, vol. 85(PB).
    68. Chen, Zhonglu & Zhang, Li & Weng, Chen, 2023. "Does climate policy uncertainty affect Chinese stock market volatility?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 369-381.
    69. Long, Shaobo & Tian, Hao & Li, Zixuan, 2022. "Dynamic spillovers between uncertainties and green bond markets in the US, Europe, and China: Evidence from the quantile VAR framework," International Review of Financial Analysis, Elsevier, vol. 84(C).
    70. Liu, Fangying & Su, Chi Wei & Tao, Ran & Umar, Muhammad, 2023. "The instability of U.S. economic policy: A hindrance or a stimulus to green financing?," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 33-46.
    71. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond," International Review of Financial Analysis, Elsevier, vol. 81(C).
    72. Wang, Xiong & Li, Jingyao & Ren, Xiaohang, 2022. "Asymmetric causality of economic policy uncertainty and oil volatility index on time-varying nexus of the clean energy, carbon and green bond," International Review of Financial Analysis, Elsevier, vol. 83(C).
    73. Su, Chi-Wei & Pang, Li-Dong & Qin, Meng & Lobonţ, Oana-Ramona & Umar, Muhammad, 2023. "The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises," Energy, Elsevier, vol. 274(C).
    74. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy," Energy Economics, Elsevier, vol. 129(C).
    75. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    76. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    77. Emmanuel Joel Aikins Abakah & Guglielmo Maria Caporale & Luis A. Gil-Alana, 2022. "Cryptocurrencies, Technology Stocks, Covid-19 and US Policy Responses: A Fractional Integration Analysis," CESifo Working Paper Series 9624, CESifo.
    78. Raza, Syed Ali & Khan, Komal Akram & Benkraiem, Ramzi & Guesmi, Khaled, 2024. "The importance of climate policy uncertainty in forecasting the green, clean and sustainable financial markets volatility," International Review of Financial Analysis, Elsevier, vol. 91(C).
    79. Karkowska, Renata & Urjasz, Szczepan, 2023. "How does the Russian-Ukrainian war change connectedness and hedging opportunities? Comparison between dirty and clean energy markets versus global stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
    80. Anwer, Zaheer & Farid, Saqib & Khan, Ashraf & Benlagha, Noureddine, 2023. "Cryptocurrencies versus environmentally sustainable assets: Does a perfect hedge exist?," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 418-431.
    81. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    82. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    83. Inzamam UI Haq & Hira Nadeem & Apichit Maneengam & Saowanee Samantreeporn & Nhan Huynh & Thasporn Kettanom & Worakamol Wisetsri, 2022. "Do Rare Earths and Energy Commodities Drive Volatility Transmission in Sustainable Financial Markets? Evidence from China, Australia, and the US," IJFS, MDPI, vol. 10(3), pages 1-22, September.
    84. Benlagha, Noureddine & Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M. & Vigne, Samuel A., 2022. "Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries," Energy Economics, Elsevier, vol. 115(C).
    85. Abakah, Emmanuel Joel Aikins & Wali Ullah, GM & Adekoya, Oluwasegun B. & Osei Bonsu, Christiana & Abdullah, Mohammad, 2023. "Blockchain market and eco-friendly financial assets: Dynamic price correlation, connectedness and spillovers with portfolio implications," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 218-243.
    86. El Khoury, Rim & Alshater, Muneer M. & Li, Yanshuang & Xiong, Xiong, 2024. "Quantile time-frequency connectedness among G7 stock markets and clean energy markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 71-90.
    87. Song, Feng & Cui, Jian & Yu, Yihua, 2022. "Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector," Economic Modelling, Elsevier, vol. 116(C).
    88. Lyu, Chenyan & Scholtens, Bert, 2022. "Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems," Working Papers 7-2022, Copenhagen Business School, Department of Economics, revised 08 Jun 2022.
    89. Andreas Lichtenberger & Joao Paulo Braga & Willi Semmler, 2022. "Green Bonds for the Transition to a Low-Carbon Economy," Econometrics, MDPI, vol. 10(1), pages 1-31, March.
    90. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Sergio Botero, 2023. "A Wavelet Analysis of the Dynamic Connectedness among Oil Prices, Green Bonds, and CO 2 Emissions," Risks, MDPI, vol. 11(1), pages 1-21, January.
    91. Lee, Chi-Chuan & Zhang, Jian & Hou, Shanshuai, 2023. "The impact of regional renewable energy development on environmental sustainability in China," Resources Policy, Elsevier, vol. 80(C).

  12. David Gabauer & Sowmya Subramaniam & Rangan Gupta, 2022. "On the transmission mechanism of Asia‐Pacific yield curve characteristics," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 473-488, January.
    See citations under working paper version above.
  13. Mehmet Balcilar & David Gabauer & Rangan Gupta & Christian Pierdzioch, 2022. "Uncertainty and forecastability of regional output growth in the UK: Evidence from machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1049-1064, September.

    Cited by:

    1. Eren Bas & Erol Eğrioğlu, 2023. "A new recurrent pi‐sigma artificial neural network inspired by exponential smoothing feedback mechanism," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 802-812, July.
    2. Xin Sheng & Rangan Gupta & Wenting Liao & Oguzhan Cepni, 2024. "The Effects of Uncertainty on Economic Conditions across US States: The Role of Climate Risks," Working Papers 202410, University of Pretoria, Department of Economics.

  14. Ioannis Chatziantoniou & David Gabauer & Hardik A. Marfatia, 2022. "Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(3), pages 283-300, July.
    See citations under working paper version above.
  15. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    See citations under working paper version above.
  16. Adekoya, Oluwasegun B. & Akinseye, Ademola B. & Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David & Oliyide, Johnson, 2022. "Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies," Resources Policy, Elsevier, vol. 78(C).

    Cited by:

    1. Zheng, Jinlin & Wen, Baoyu & Jiang, Yaohui & Wang, Xiaohan & Shen, Yue, 2023. "Risk spillovers across geopolitical risk and global financial markets," Energy Economics, Elsevier, vol. 127(PA).
    2. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    3. Furuoka, Fumitaka & Yaya, OlaOluwa Simon & Ling, Pui Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023. "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," Resources Policy, Elsevier, vol. 81(C).
    4. Li, Jingpeng & Umar, Muhammad & Huo, Jiale, 2023. "The spillover effect between Chinese crude oil futures market and Chinese green energy stock market," Energy Economics, Elsevier, vol. 119(C).
    5. Xia, Yufei & Shi, Zhengxu & Du, Xiaoying & Niu, Mengyi & Cai, Rongjiang, 2023. "Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications," Finance Research Letters, Elsevier, vol. 55(PA).
    6. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    7. Ding, Shusheng & Wang, Kaihao & Cui, Tianxiang & Du, Min, 2023. "The time-varying impact of geopolitical risk on natural resource prices: The post-COVID era evidence," Resources Policy, Elsevier, vol. 86(PB).
    8. Jing, Ruixue & Rocha, Luis E.C., 2023. "A network-based strategy of price correlations for optimal cryptocurrency portfolios," Finance Research Letters, Elsevier, vol. 58(PC).
    9. Mishra, Aswini Kumar & Arunachalam, Vairam & Olson, Dennis & Patnaik, Debasis, 2023. "Dynamic connectedness in commodity futures markets during Covid-19 in India: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 82(C).
    10. Nyakurukwa, Kingstone & Seetharam, Yudhvir, 2023. "Quantile and asymmetric return connectedness among BRICS stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    11. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    12. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
    13. Rabbani, Mustafa Raza & Billah, Syed Mabruk & Shaik, Muneer & Rahman, Mashuk & Boujlil, Rhada, 2023. "Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets," Global Finance Journal, Elsevier, vol. 58(C).
    14. Abakah, Emmanuel Joel Aikins & Hossain, Sahib & Abdullah, Mohammad & Goodell, John W., 2024. "Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach," Finance Research Letters, Elsevier, vol. 59(C).

  17. Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022. "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, vol. 44(C).

    Cited by:

    1. Yousaf, Imran & Youssef, Manel & Goodell, John W., 2022. "Quantile connectedness between sentiment and financial markets: Evidence from the S&P 500 twitter sentiment index," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Song, Huiling & Wang, Chang & Lei, Xiaojie & Zhang, Hongwei, 2022. "Dynamic dependence between main-byproduct metals and the role of clean energy market," Energy Economics, Elsevier, vol. 108(C).
    3. Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2023. "How connected is the crypto market risk to investor sentiment?," Finance Research Letters, Elsevier, vol. 56(C).
    4. Mohammed, Kamel Si & Obeid, Hassan & Oueslati, Karim & Kaabia, Olfa, 2023. "Investor sentiments, economic policy uncertainty, US interest rates, and financial assets: Examining their interdependence over time," Finance Research Letters, Elsevier, vol. 57(C).
    5. Li, Zhenghui & Mo, Bin & Nie, He, 2023. "Time and frequency dynamic connectedness between cryptocurrencies and financial assets in China," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 46-57.
    6. Alper Gormus & Saban Nazlioglu & Steven L. Beach, 2023. "Environmental, Social, and Governance Considerations in WTI Financialization through Energy Funds," JRFM, MDPI, vol. 16(4), pages 1-17, April.
    7. Su, Chi-Wei & Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad, 2022. "COVID19: A blessing in disguise for European stock markets?," Finance Research Letters, Elsevier, vol. 49(C).
    8. Ghosh, Bikramaditya & Pham, Linh & Gubareva, Mariya & Teplova, Tamara, 2023. "Energy transition metals and global sentiment: Evidence from extreme quantiles," Resources Policy, Elsevier, vol. 86(PA).
    9. Wang, Jying-Nan & Liu, Hung-Chun & Lee, Yen-Hsien & Hsu, Yuan-Teng, 2023. "FoMO in the Bitcoin market: Revisiting and factors," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 244-253.

  18. Alexis Stenfors & Ioannis Chatziantoniou & David Gabauer, 2022. "The Evolution of Monetary Policy Focal Points," Journal of Economic Issues, Taylor & Francis Journals, vol. 56(2), pages 348-355, April.
    See citations under working paper version above.
  19. Salisu, Afees A. & Pierdzioch, Christian & Gupta, Rangan & Gabauer, David, 2022. "Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    See citations under working paper version above.
  20. Chatziantoniou, Ioannis & Filippidis, Michail & Filis, George & Gabauer, David, 2021. "A closer look into the global determinants of oil price volatility," Energy Economics, Elsevier, vol. 95(C).

    Cited by:

    1. Ming Fang & Chiu-Lan Chang, 2022. "Nexus between fiscal imbalances, green fiscal spending, and green economic growth: empirical findings from E-7 economies," Economic Change and Restructuring, Springer, vol. 55(4), pages 2423-2443, November.
    2. Fredj Jawadi & Philippe Rozin & David Bourghelle, 2023. "Insights into CO2 emissions in Europe in the context of COVID-19: A panel data analysis [Étude sur les émissions de Co2 en Europe dans le contexte du COVID 19]," Post-Print hal-04412667, HAL.
    3. Scarcioffolo, Alexandre R. & Etienne, Xiaoli L., 2021. "Regime-switching energy price volatility: The role of economic policy uncertainty," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 336-356.
    4. Zhang, Shuzhi & Xie, Guangxiong, 2023. "Promoting green investment for renewable energy sources in China: Case study from autoregressive distributed Lagged in error correction approach," Renewable Energy, Elsevier, vol. 214(C), pages 359-368.
    5. Xiao, Jihong & Wang, Yudong & Wen, Danyan, 2023. "The predictive effect of risk aversion on oil returns under different market conditions," Energy Economics, Elsevier, vol. 126(C).
    6. Feng, Hao & Gao, Da & Duan, Kun & Urquhart, Andrew, 2023. "Does Bitcoin affect decomposed oil shocks differently? Evidence from a quantile-based framework," International Review of Financial Analysis, Elsevier, vol. 89(C).
    7. Le, Thai-Ha & Boubaker, Sabri & Bui, Manh Tien & Park, Donghyun, 2023. "On the volatility of WTI crude oil prices: A time-varying approach with stochastic volatility," Energy Economics, Elsevier, vol. 117(C).
    8. Syed Abul, Basher & Perry, Sadorsky, 2022. "Forecasting Bitcoin price direction with random forests: How important are interest rates, inflation, and market volatility?," MPRA Paper 113293, University Library of Munich, Germany.
    9. Ayaz Zeynalov & Kristina Tiron, 2022. "Macroeconomic performance of oil price shocks in Russia," Papers 2211.04954, arXiv.org, revised Nov 2022.
    10. Krzysztof Drachal, 2022. "Forecasting the Crude Oil Spot Price with Bayesian Symbolic Regression," Energies, MDPI, vol. 16(1), pages 1-29, December.
    11. Mao, Zhouheng & Wang, Hui & Bibi, Sidra, 2024. "Crude oil volatility spillover and stock market returns across the COVID-19 pandemic and post-pandemic periods: An empirical study of China, US, and India," Resources Policy, Elsevier, vol. 88(C).
    12. Tumala, Mohammed M. & Salisu, Afees & Nmadu, Yaaba B., 2023. "Climate change and fossil fuel prices: A GARCH-MIDAS analysis," Energy Economics, Elsevier, vol. 124(C).
    13. Xiao, Jihong & Wen, Fenghua & He, Zhifang, 2023. "Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis," Energy, Elsevier, vol. 267(C).
    14. Xiao, Jihong & Liu, Hong, 2023. "The time-varying impact of uncertainty on oil market fear: Does climate policy uncertainty matter?," Resources Policy, Elsevier, vol. 82(C).
    15. Harrison, Andre & Liu, Xiaochun & Stewart, Shamar L., 2023. "Structural sources of oil market volatility and correlation dynamics," Energy Economics, Elsevier, vol. 121(C).
    16. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
    17. Michał Rubaszek & Karol Szafranek, 2022. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," KAE Working Papers 2022-078, Warsaw School of Economics, Collegium of Economic Analysis.
    18. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    19. Gkillas, Konstantinos & Manickavasagam, Jeevananthan & Visalakshmi, S., 2022. "Effects of fundamentals, geopolitical risk and expectations factors on crude oil prices," Resources Policy, Elsevier, vol. 78(C).
    20. Luo, Qin & Ma, Feng & Wang, Jiqian & Wu, You, 2024. "Changing determinant driver and oil volatility forecasting: A comprehensive analysis," Energy Economics, Elsevier, vol. 129(C).
    21. Chang, Lei & Baloch, Zulfiqar Ali & Saydaliev, Hayot Berk & Hyder, Mansoor & Dilanchiev, Azer, 2022. "Testing oil price volatility during Covid-19: Global economic impact," Resources Policy, Elsevier, vol. 78(C).
    22. Huang, Yisu & Xu, Weiju & Huang, Dengshi & Zhao, Chenchen, 2023. "Chinese crude oil futures volatility and sustainability: An uncertainty indices perspective," Resources Policy, Elsevier, vol. 80(C).
    23. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
    24. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    25. Hu, Yang & Lang, Chunlin & Corbet, Shaen & Hou, Yang (Greg) & Oxley, Les, 2023. "Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event," Energy Economics, Elsevier, vol. 125(C).
    26. Dong, Chunlong & Wu, Hao & Zhou, Jianwen & Lin, Huifang & Chang, Lei, 2023. "Role of renewable energy investment and geopolitical risk in green finance development: Empirical evidence from BRICS countries," Renewable Energy, Elsevier, vol. 207(C), pages 234-241.
    27. Zhang, Jie & Chen, Zhiguo & Altuntaş, Mehmet, 2022. "Tracing volatility in natural resources, green finance and investment in energy resources: Fresh evidence from China," Resources Policy, Elsevier, vol. 79(C).
    28. Cai, Lu & Le, Thanh Tiep, 2023. "Natural resources and financial development: Role of corporate social responsibility on green economic growth in Vietnam," Resources Policy, Elsevier, vol. 81(C).
    29. Zhang, Xiheng & Liu, Jiayu & Zhang, Kaiqi & Robert, James, 2023. "Analysis of firm performance in presence of oil price shocks: Importance of skilled management," Resources Policy, Elsevier, vol. 86(PA).
    30. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Uncertainty matters in US financial information spillovers: Evidence from a directed acyclic graph approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 229-242.
    31. Rabbani, Mustafa Raza & Billah, Syed Mabruk & Shaik, Muneer & Rahman, Mashuk & Boujlil, Rhada, 2023. "Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets," Global Finance Journal, Elsevier, vol. 58(C).
    32. Zhang, Yonggang & Hyder, Mansoor & Baloch, Zulfiqar Ali & Qian, Chong & Berk Saydaliev, Hayot, 2022. "Nexus between oil price volatility and inflation: Mediating nexus from exchange rate," Resources Policy, Elsevier, vol. 79(C).

  21. Chatziantoniou, Ioannis & Gabauer, David, 2021. "EMU risk-synchronisation and financial fragility through the prism of dynamic connectedness," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 1-14.
    See citations under working paper version above.
  22. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(2), pages 279-307, April.

    Cited by:

    1. David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.
    2. Roy Chowdhury, S. & Gupta, Kirti & Tzeremes, Panayiotis, 2023. "US housing prices and the transmission mechanism of connectedness," Finance Research Letters, Elsevier, vol. 58(PD).
    3. Thomas F. P. Wiesen & Todd Gabe & Lakshya Bharadwaj, 2023. "Econometric connectedness as a measure of urban influence: evidence from Maine," Letters in Spatial and Resource Sciences, Springer, vol. 16(1), pages 1-16, December.
    4. Zhang, Yulian & Hamori, Shigeyuki, 2022. "A connectedness analysis among BRICS’s geopolitical risks and the US macroeconomy," Economic Analysis and Policy, Elsevier, vol. 76(C), pages 182-203.
    5. Rabbani, Mustafa Raza & Billah, Syed Mabruk & Shaik, Muneer & Rahman, Mashuk & Boujlil, Rhada, 2023. "Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets," Global Finance Journal, Elsevier, vol. 58(C).

  23. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "The impact of Euro through time: Exchange rate dynamics under different regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 1375-1408, January.

    Cited by:

    1. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    2. Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
    3. Guangxi Cao & Fei Xie, 2024. "Extreme risk spillovers across energy and carbon markets: Evidence from the quantile extended joint connectedness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 2155-2175, April.
    4. Yahya, Farzan & Abbas, Ghulam & Lee, Chien-Chiang, 2023. "Asymmetric effects and volatility transmission from metals markets to solar energy stocks: Evidence from DCC, ADCC, and quantile regression approach," Resources Policy, Elsevier, vol. 82(C).

  24. André, Christophe & Gabauer, David & Gupta, Rangan, 2021. "Time-varying spillovers between housing sentiment and housing market in the United States☆," Finance Research Letters, Elsevier, vol. 42(C).

    Cited by:

    1. Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Ersan, Oguz & Demir, Ender & Assaf, Ata, 2022. "Connectedness among fan tokens and stocks of football clubs," Research in International Business and Finance, Elsevier, vol. 63(C).

  25. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
    See citations under working paper version above.
  26. Demirer, Riza & Gabauer, David & Gupta, Rangan & Ji, Qiang, 2021. "Monetary policy and speculative spillovers in financial markets," Research in International Business and Finance, Elsevier, vol. 56(C).
    See citations under working paper version above.
  27. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021. "Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach," Economics Letters, Elsevier, vol. 204(C).
    See citations under working paper version above.
  28. Gabauer, David, 2021. "Dynamic measures of asymmetric & pairwise connectedness within an optimal currency area: Evidence from the ERM I system," Journal of Multinational Financial Management, Elsevier, vol. 60(C).

    Cited by:

    1. Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
    2. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    3. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    4. Khan, Khalid & Su, Chi Wei & Koseoglu, Sinem Derindere, 2022. "Who are the influencers in the commodity markets during COVID-19?," Resources Policy, Elsevier, vol. 78(C).
    5. Rao, Amar & Lucey, Brian & Kumar, Satish & Lim, Weng Marc, 2023. "Do green energy markets catch cold when conventional energy markets sneeze?," Energy Economics, Elsevier, vol. 127(PA).
    6. Lean, Hooi Hooi & Alkhazali, Osamah M. & Gleason, Kimberley & Yeap, Xiu Wei, 2024. "Connectedness and economic policy uncertainty spillovers to the ASEAN stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 167-186.
    7. Furuoka, Fumitaka & Yaya, OlaOluwa Simon & Ling, Pui Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023. "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," Resources Policy, Elsevier, vol. 81(C).
    8. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2021. "Interest rate swaps and the transmission mechanism of monetary policy: A quantile connectedness approach," Economics Letters, Elsevier, vol. 204(C).
    9. Cagli, Efe Caglar, 2023. "The volatility spillover between battery metals and future mobility stocks: Evidence from the time-varying frequency connectedness approach," Resources Policy, Elsevier, vol. 86(PA).
    10. Akbulut Nesrin & Ari Yakup, 2023. "TVP-VAR Frequency Connectedness Between the Foreign Exchange Rates of Non-Euro Area Member Countries," Folia Oeconomica Stetinensia, Sciendo, vol. 23(2), pages 1-23, December.
    11. Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
    12. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    13. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    14. Su, Xianfang & Zhao, Yachao, 2023. "What has the strongest connectedness with clean energy? Technology, substitutes, or raw materials," Energy Economics, Elsevier, vol. 128(C).
    15. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    16. Aharon, David Y. & Qadan, Mahmoud, 2022. "Infection, invasion, and inflation: Recent lessons," Finance Research Letters, Elsevier, vol. 50(C).
    17. Kapar, Burcu & Billah, Syed Mabruk & Rana, Faisal & Balli, Faruk, 2024. "An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 1442-1467.
    18. Ersan, Oguz & Demir, Ender & Assaf, Ata, 2022. "Connectedness among fan tokens and stocks of football clubs," Research in International Business and Finance, Elsevier, vol. 63(C).
    19. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    20. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2023. "Dynamic connectedness among the implied volatilities of oil prices and financial assets: New evidence of the COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 114-123.
    21. OlaOluwa S. Yaya & Hammed A. Olayinka & Ahamuefula E. Ogbonna & Mamdouh Abdulaziz Saleh Al-Faryan & Xuan Vinh Vo, 2024. "Dynamic connectedness of economic policy uncertainty in G7 countries and the influence of the USA and UK on non-G7 countries," Economic Change and Restructuring, Springer, vol. 57(2), pages 1-27, April.
    22. Chuliá, Helena & Klein, Tony & Muñoz Mendoza, Jorge A. & Uribe, Jorge M., 2024. "Vulnerability of European electricity markets: A quantile connectedness approach," Energy Policy, Elsevier, vol. 184(C).
    23. Gaies, Brahim & Chaâbane, Najeh & Bouzouita, Nesrine, 2024. "Navigating the storm: Time-frequency quantile dependence and non-linear causality between crypto-currency market volatility and financial instability," The Quarterly Review of Economics and Finance, Elsevier, vol. 93(C), pages 43-70.
    24. Chatziantoniou, Ioannis & Gabauer, David & Gupta, Rangan, 2023. "Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approach," Resources Policy, Elsevier, vol. 84(C).
    25. Adewuyi, Adeolu O. & Adeleke, Musefiu A. & Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel, 2023. "Dynamic linkages between shipping and commodity markets: Evidence from a novel asymmetric time-frequency method," Resources Policy, Elsevier, vol. 83(C).
    26. Thobekile Qabhobho & Anokye M. Adam & Anthony Adu-Asare Idun & Emmanuel Asafo-Adjei & Ebenezer Boateng, 2023. "Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 272-283, March.
    27. Xia, Yufei & Shi, Zhengxu & Du, Xiaoying & Niu, Mengyi & Cai, Rongjiang, 2023. "Can green assets hedge against economic policy uncertainty? Evidence from China with portfolio implications," Finance Research Letters, Elsevier, vol. 55(PA).
    28. Raza, Syed Ali & Sharif, Arshian & Kumar, Satish & Ahmed, Maiyra, 2023. "Connectedness between monetary policy uncertainty and sectoral stock market returns: Evidence from asymmetric TVP-VAR approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    29. Chang, Hao-Wen & Chang, Tsangyao & Lee, Chien-Chiang, 2023. "Return and volatility connectedness among the BRICS stock and oil markets," Resources Policy, Elsevier, vol. 86(PA).
    30. Joaqui-Barandica, Orlando & Oviedo-Gómez, Andres & Manotas-Duque, Diego F., 2023. "Directional predictability between interest rates and the Stoxx 600 Banks index: A quantile approach," Finance Research Letters, Elsevier, vol. 58(PA).
    31. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    32. Shahzad, Umer & Ghaemi Asl, Mahdi & Panait, Mirela & Sarker, Tapan & Apostu, Simona Andreea, 2023. "Emerging interaction of artificial intelligence with basic materials and oil & gas companies: A comparative look at the Islamic vs. conventional markets," Resources Policy, Elsevier, vol. 80(C).
    33. Sheng, Lin Wen & Uddin, Gazi Salah & Sen, Ding & Hao, Zhu Shi, 2024. "The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets: A regime weighted measure and its forecast inference," International Review of Financial Analysis, Elsevier, vol. 91(C).
    34. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
    35. Shahzad, Syed Jawad Hussain & Hasan, Mudassar & Caporin, Massimiliano, 2023. "Asymmetric and time-frequency based networks of currency markets," Finance Research Letters, Elsevier, vol. 55(PB).
    36. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
    37. Elie Bouri & David Gabauer & Rangan Gupta & Harald Kinateder, 2023. "Geopolitical Risk and Inflation Spillovers across European and North American Economies," Working Papers 202304, University of Pretoria, Department of Economics.
    38. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
    39. Ghaemi Asl, Mahdi & Raheem, Ibrahim D. & Rashidi, Muhammad Mahdi, 2023. "Do stochastic risks flow between industrial and precious metals, Islamic stocks, green bonds, green stocks, clean investments, major foreign exchange rates, and Bitcoin?," Resources Policy, Elsevier, vol. 86(PA).
    40. Balli, Faruk & Balli, Hatice Ozer & Dang, Tam Hoang Nhat & Gabauer, David, 2023. "Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market," Finance Research Letters, Elsevier, vol. 57(C).
    41. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    42. Chen, Ruoyu & Iqbal, Najaf & Irfan, Muhammad & Shahzad, Farrukh & Fareed, Zeeshan, 2022. "Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model," Resources Policy, Elsevier, vol. 77(C).
    43. Keagile Lesame & Elie Bouri & David Gabauer & Rangan Gupta, 2021. "On the Dynamics of International Real Estate Investment Trust Propagation Mechanisms: Evidence from Time-Varying Return and Volatility Connectedness Measures," Working Papers 202152, University of Pretoria, Department of Economics.
    44. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    45. Ur Rehman, Mobeen & Al Rababa'a, Abdel Razzaq & El-Nader, Ghaith & Alkhataybeh, Ahmad & Vo, Xuan Vinh, 2022. "Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).

  29. Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021. "Volatility connectedness of major cryptocurrencies: The role of investor happiness," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    See citations under working paper version above.
  30. Edmond Berisha & David Gabauer & Rangan Gupta & Chi Keung Marco Lau, 2021. "Time-varying influence of household debt on inequality in United Kingdom," Empirical Economics, Springer, vol. 61(4), pages 1917-1933, October.
    See citations under working paper version above.
  31. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).

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    3. Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
    4. Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
    5. Dai, Zhifeng & Zhu, Junxin & Zhang, Xinhua, 2022. "Time-frequency connectedness and cross-quantile dependence between crude oil, Chinese commodity market, stock market and investor sentiment," Energy Economics, Elsevier, vol. 114(C).
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    7. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    8. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    9. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
    10. Lean, Hooi Hooi & Alkhazali, Osamah M. & Gleason, Kimberley & Yeap, Xiu Wei, 2024. "Connectedness and economic policy uncertainty spillovers to the ASEAN stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 167-186.
    11. Huang, Menghao & Shao, Wei & Wang, Jian, 2023. "Correlations between the crude oil market and capital markets under the Russia–Ukraine conflict: A perspective of crude oil importing and exporting countries," Resources Policy, Elsevier, vol. 80(C).
    12. Qiao, Sen & Dang, Yi Jing & Ren, Zheng Yu & Zhang, Kai Quan, 2023. "The dynamic spillovers among carbon, fossil energy and electricity markets based on a TVP-VAR-SV method," Energy, Elsevier, vol. 266(C).
    13. David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.
    14. Yang, Yang & Liu, Zhen & Saydaliev, Hayot Berk & Iqbal, Sajid, 2022. "Economic impact of crude oil supply disruption on social welfare losses and strategic petroleum reserves," Resources Policy, Elsevier, vol. 77(C).
    15. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    16. Asadi, Mehrad & Balcilar, Mehmet & Sheikh, Umaid A. & Roubaud, David & Ghasemi, Hamid Reza, 2023. "Are there inextricable connections among automobile stocks, crude oil, steel, and the US dollar?," Energy Economics, Elsevier, vol. 128(C).
    17. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
    18. Zhuo Chen & Bo Yan & Hanwen Kang, 2022. "Dynamic correlation between crude oil and agricultural futures markets," Review of Development Economics, Wiley Blackwell, vol. 26(3), pages 1798-1849, August.
    19. Aharon, David Y. & Umar, Zaghum & Aziz, Mukhriz Izraf Azman & Vo, Xuan vinh, 2022. "COVID-19 related media sentiment and the yield curve of G-7 economies," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    20. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    21. Adriana AnaMaria Davidescu & Eduard Mihai Manta & Razvan Gabriel Hapau & Mihaela Gruiescu & Oana Mihaela Vacaru (Boita), 2023. "Exploring the Contagion Effect from Developed to Emerging CEE Financial Markets," Mathematics, MDPI, vol. 11(3), pages 1-50, January.
    22. Ha, Le Thanh, 2022. "Storm after the Gloomy days: Influences of COVID-19 pandemic on volatility of the energy market," Resources Policy, Elsevier, vol. 79(C).
    23. Onur Polat, 2021. "Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 7(2), pages 47-59, December.
    24. Mensi, Walid & Gubareva, Mariya & Teplova, Tamara & Kang, Sang Hoon, 2023. "Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
    25. Ha, Le Thanh & Bouteska, Ahmed & Mefteh-Wali, Salma & The Anh, Pham, 2023. "Fluctuations in gold prices in Vietnam during the COVID-19 pandemic: Insights from a time-varying parameter autoregression model," Resources Policy, Elsevier, vol. 86(PB).
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    29. Thobekile Qabhobho & Anokye M. Adam & Anthony Adu-Asare Idun & Emmanuel Asafo-Adjei & Ebenezer Boateng, 2023. "Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 272-283, March.
    30. Alexis Stenfors & Kaveesha Dilshani & Andy Guo & Peter Mere, 2023. "A Model to Quantify the Risk of Cross-Product Manipulation: Evidence from the European Government Bond Futures Market," Working Papers in Economics & Finance 2023-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
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    50. Juncal Cunado & David Gabauer & Rangan Gupta & Chien-Chiang Lee, 2022. "On the Propagation Mechanism of International Real Interest Rate Spillovers: Evidence from More than 200 Years of Data," Working Papers 202212, University of Pretoria, Department of Economics.
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    73. Cagli, Efe Caglar & Mandaci, Pinar Evrim & Taskin, Dilvin, 2023. "The volatility connectedness between agricultural commodity and agri businesses: Evidence from time-varying extended joint approach," Finance Research Letters, Elsevier, vol. 52(C).
    74. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    75. Chen, Ruoyu & Iqbal, Najaf & Irfan, Muhammad & Shahzad, Farrukh & Fareed, Zeeshan, 2022. "Does financial stress wreak havoc on banking, insurance, oil, and gold markets? New empirics from the extended joint connectedness of TVP-VAR model," Resources Policy, Elsevier, vol. 77(C).
    76. Adeleke, Musefiu A. & Awodumi, Olabanji B. & Adewuyi, Adeolu O., 2022. "Return and volatility connectedness among commodity markets during major crises periods: Static and dynamic analyses with asymmetries," Resources Policy, Elsevier, vol. 79(C).
    77. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).

  32. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & de Gracia, Fernando Perez, 2020. "Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness," Energy Economics, Elsevier, vol. 91(C).

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    1. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    2. Ding, Qian & Huang, Jianbai & Chen, Jinyu, 2021. "Dynamic and frequency-domain risk spillovers among oil, gold, and foreign exchange markets: Evidence from implied volatility," Energy Economics, Elsevier, vol. 102(C).
    3. Ha, Le Thanh & Nham, Nguyen Thi Hong, 2022. "An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis," Technological Forecasting and Social Change, Elsevier, vol. 183(C).
    4. Furuoka, Fumitaka & Yaya, OlaOluwa Simon & Ling, Pui Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023. "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," Resources Policy, Elsevier, vol. 81(C).
    5. Bouri, Elie & Lei, Xiaojie & Xu, Yahua & Zhang, Hongwei, 2023. "Connectedness in implied higher-order moments of precious metals and energy markets," Energy, Elsevier, vol. 263(PB).
    6. Bin Mo & Juan Meng & Guannan Wang, 2023. "Risk Dependence and Risk Spillovers Effect from Crude Oil on the Chinese Stock Market and Gold Market: Implications on Portfolio Management," Energies, MDPI, vol. 16(5), pages 1-17, February.
    7. Samia Nasreen & Aviral Kumar Tiwari & Seong-Min Yoon, 2021. "Dynamic Connectedness and Portfolio Diversification during the Coronavirus Disease 2019 Pandemic: Evidence from the Cryptocurrency Market," Sustainability, MDPI, vol. 13(14), pages 1-14, July.
    8. Chen, Zhang-HangJian & Wu, Wang-Long & Li, Sai-Ping & Bao, Kun & Koedijk, Kees G., 2024. "Social media information diffusion and excess stock returns co-movement," International Review of Financial Analysis, Elsevier, vol. 91(C).
    9. Guglielmo Maria Caporale & Alex Plastun, 2021. "Gold and oil prices: abnormal returns, momentum and contrarian effects," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 353-368, September.
    10. Wang, Xiong & Li, Jingyao & Ren, Xiaohang & Bu, Ruijun & Jawadi, Fredj, 2023. "Economic policy uncertainty and dynamic correlations in energy markets: Assessment and solutions," Energy Economics, Elsevier, vol. 117(C).
    11. Ahmad, Wasim & Hernandez, Jose Arreola & Saini, Seema & Mishra, Ritesh Kumar, 2021. "The US equity sectors, implied volatilities, and COVID-19: What does the spillover analysis reveal?," Resources Policy, Elsevier, vol. 72(C).
    12. Raza, Syed Ali & Sharif, Arshian & Kumar, Satish & Ahmed, Maiyra, 2023. "Connectedness between monetary policy uncertainty and sectoral stock market returns: Evidence from asymmetric TVP-VAR approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    13. Çelik, İsmail & Sak, Ahmet Furkan & Höl, Arife Özdemir & Vergili, Gizem, 2022. "The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    14. Debojyoti Das & Anupam Dutta & Rabin K. Jana & Indranil Ghosh, 2023. "The asymmetric impact of oil price uncertainty on emerging market financial stress: A quantile regression approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4299-4323, October.
    15. Xu, Lan & Wu, Yang, 2023. "Nexus between green finance, renewable energy and carbon emission: Empirical evidence from selected Asian economies," Renewable Energy, Elsevier, vol. 215(C).
    16. Jing, Ruixue & Rocha, Luis E.C., 2023. "A network-based strategy of price correlations for optimal cryptocurrency portfolios," Finance Research Letters, Elsevier, vol. 58(PC).
    17. Najaf Iqbal & Elie Bouri & Guangrui Liu & Ashish Kumar, 2024. "Volatility spillovers during normal and high volatility states and their driving factors: A cross‐country and cross‐asset analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 975-995, January.
    18. Mensi, Walid & Lee, Yun-Jung & Vo, Xuan Vinh & Yoon, Seong-Min, 2021. "Quantile connectedness among gold, gold mining, silver, oil and energy sector uncertainty indexes," Resources Policy, Elsevier, vol. 74(C).
    19. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
    20. Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
    21. Adekoya, Oluwasegun B. & Akinseye, Ademola B. & Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David & Oliyide, Johnson, 2022. "Crude oil and Islamic sectoral stocks: Asymmetric TVP-VAR connectedness and investment strategies," Resources Policy, Elsevier, vol. 78(C).
    22. Cai, Lu & Le, Thanh Tiep, 2023. "Natural resources and financial development: Role of corporate social responsibility on green economic growth in Vietnam," Resources Policy, Elsevier, vol. 81(C).
    23. Cui, Jinxin & Maghyereh, Aktham, 2023. "Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict," International Review of Financial Analysis, Elsevier, vol. 86(C).
    24. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    25. Aharon, David Y. & Ali, Shoaib, 2024. "A high-frequency data dive into SVB collapse," Finance Research Letters, Elsevier, vol. 59(C).
    26. Yu, Mengyan & Umair, Muhammad & Oskenbayev, Yessengali & Karabayeva, Zhаnsaya, 2023. "Exploring the nexus between monetary uncertainty and volatility in global crude oil: A contemporary approach of regime-switching," Resources Policy, Elsevier, vol. 85(PB).
    27. Pham, Linh & Do, Hung Xuan, 2022. "Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management," Energy Economics, Elsevier, vol. 112(C).
    28. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    29. Yang, Kun & Wei, Yu & Li, Shouwei & Liu, Liang & Wang, Lei, 2021. "Global financial uncertainties and China’s crude oil futures market: Evidence from interday and intraday price dynamics," Energy Economics, Elsevier, vol. 96(C).
    30. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).
    31. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
    32. OlaOluwa Yaya & Olayinka Adenikinju & Hammed A. Olayinka, 2024. "African stock markets’ connectedness: Quantile VAR approach," Modern Finance, Modern Finance Institute, vol. 2(1), pages 51-68.
    33. Song, Feng & Cui, Jian & Yu, Yihua, 2022. "Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector," Economic Modelling, Elsevier, vol. 116(C).
    34. Elsayed, Ahmed H. & Naifar, Nader & Uddin, Gazi Salah & Wang, Gang-Jin, 2023. "Multilayer information spillover networks between oil shocks and banking sectors: Evidence from oil-rich countries," International Review of Financial Analysis, Elsevier, vol. 87(C).
    35. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    36. Yahya, Farzan & Abbas, Ghulam & Lee, Chien-Chiang, 2023. "Asymmetric effects and volatility transmission from metals markets to solar energy stocks: Evidence from DCC, ADCC, and quantile regression approach," Resources Policy, Elsevier, vol. 82(C).
    37. Rabbani, Mustafa Raza & Billah, Syed Mabruk & Shaik, Muneer & Rahman, Mashuk & Boujlil, Rhada, 2023. "Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets," Global Finance Journal, Elsevier, vol. 58(C).
    38. Dinesh Gajurel & Akhila Chawla, 2022. "The oil price crisis and contagion effects on the Canadian economy," Applied Economics, Taylor & Francis Journals, vol. 54(13), pages 1527-1543, March.

  33. Christou, Christina & Gabauer, David & Gupta, Rangan, 2020. "Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data," Finance Research Letters, Elsevier, vol. 37(C).
    See citations under working paper version above.
  34. Gabauer, David & Gupta, Rangan, 2020. "Spillovers across macroeconomic, financial and real estate uncertainties: A time-varying approach," Structural Change and Economic Dynamics, Elsevier, vol. 52(C), pages 167-173.
    See citations under working paper version above.
  35. Chatziantoniou, Ioannis & Gabauer, David & Stenfors, Alexis, 2020. "From CIP-deviations to a market for risk premia: A dynamic investigation of cross-currency basis swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
    See citations under working paper version above.
  36. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.

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    1. Ismail O Fasanya & Oluwatomisin J Oyewole & Taofeek Agbatogun, 2021. "How Does Economic Policy Uncertainty Connect With the Volatility Spillovers in Asia-Pacific Markets?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(2), pages 1-6.
    2. Ioannis Chatziantoniou & David Gabauer, 2019. "EMU-Risk Synchronisation and Financial Fragility Through the Prism of Dynamic Connectedness," Working Papers in Economics & Finance 2019-07, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.
    3. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
    4. Zhu, Zongyuan & Luo, Qingtian, 2023. "Inter-industry risk spillover, role reversal, and economic stability," Finance Research Letters, Elsevier, vol. 57(C).
    5. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    6. Assaf, Ata & Charif, Husni & Mokni, Khaled, 2021. "Dynamic connectedness between uncertainty and energy markets: Do investor sentiments matter?," Resources Policy, Elsevier, vol. 72(C).
    7. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    8. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    9. Guo, Dong & Zhou, Peng, 2021. "Green bonds as hedging assets before and after COVID: A comparative study between the US and China," Energy Economics, Elsevier, vol. 104(C).
    10. Juncal Cunado & David Gabauer & Rangan Gupta, 2021. "Realized Volatility Spillovers between Energy and Metal Markets: A Time-Varying Connectedness Approach," Working Papers 202180, University of Pretoria, Department of Economics.
    11. Liu, Min & Guo, Tongji & Ping, Weiying & Luo, Liangqing, 2023. "Sustainability and stability: Will ESG investment reduce the return and volatility spillover effects across the Chinese financial market?," Energy Economics, Elsevier, vol. 121(C).
    12. Roudari, Soheil & Sadeghi, Abdorasoul & Gholami, Samad & Mensi, Walid & Al-Yahyaee, Khamis Hamed, 2023. "Dynamic spillovers among natural gas, liquid natural gas, trade policy uncertainty, and stock market," Resources Policy, Elsevier, vol. 83(C).
    13. Zheng, Jinlin & Wen, Baoyu & Jiang, Yaohui & Wang, Xiaohan & Shen, Yue, 2023. "Risk spillovers across geopolitical risk and global financial markets," Energy Economics, Elsevier, vol. 127(PA).
    14. Ngene, Geoffrey M. & Tah, Kenneth A., 2023. "How are policy uncertainty, real economy, and financial sector connected?," Economic Modelling, Elsevier, vol. 123(C).
    15. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    16. Zhang, Hongwei & Jin, Chen & Bouri, Elie & Gao, Wang & Xu, Yahua, 2023. "Realized higher-order moments spillovers between commodity and stock markets: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 30(C).
    17. Nasir, Muhammad Ali & Huynh, Toan Luu Duc, 2024. "Nexus between inflation and inflation expectations at the zero lower bound: A tiger by the tail," Economic Modelling, Elsevier, vol. 131(C).
    18. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    19. Hongjun Zeng & Ran Lu & Abdullahi D. Ahmed, 2023. "Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 49-87, March.
    20. Liu, Chen & Shao, Zhen & Jiao, Jianling & Yang, Shanlin, 2024. "How connected is withholding capacity to electricity, fossil fuel and carbon markets? Perspectives from a high renewable energy consumption economy," Energy Policy, Elsevier, vol. 185(C).
    21. Goodell, John W. & Yadav, Miklesh Prasad & Ruan, Junhu & Abedin, Mohammad Zoynul & Malhotra, Nidhi, 2023. "Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine war," Finance Research Letters, Elsevier, vol. 58(PA).
    22. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    23. Shi, Chunpei & Wei, Yu & Li, Xiafei & Liu, Yuntong, 2023. "Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil," Energy Economics, Elsevier, vol. 126(C).
    24. Wei, Yu & Zhang, Yaojie & Wang, Yudong, 2022. "Information connectedness of international crude oil futures: Evidence from SC, WTI, and Brent," International Review of Financial Analysis, Elsevier, vol. 81(C).
    25. Iqbal, Najaf & Umar, Zaghum & Ruman, Asif M. & Jiang, Shaohua, 2024. "The term structure of yield curve and connectedness among ESG investments," Research in International Business and Finance, Elsevier, vol. 67(PA).
    26. Ioannis Chatziantoniou & David Gabauer & Rangan Gupta, 2021. "Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach," Working Papers 202147, University of Pretoria, Department of Economics.
    27. Cui, Jinxin & Maghyereh, Aktham, 2023. "Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective," Journal of Commodity Markets, Elsevier, vol. 30(C).
    28. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    29. Duan, Kun & Zhao, Yanqi & Urquhart, Andrew & Huang, Yingying, 2023. "Do clean and dirty cryptocurrencies connect with financial assets differently? The role of economic policy uncertainty," Energy Economics, Elsevier, vol. 127(PA).
    30. Huang, Zishan & Zhu, Huiming & Hau, Liya & Deng, Xi, 2023. "Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    31. Bouri, Elie & Lei, Xiaojie & Jalkh, Naji & Xu, Yahua & Zhang, Hongwei, 2021. "Spillovers in higher moments and jumps across US stock and strategic commodity markets," Resources Policy, Elsevier, vol. 72(C).
    32. Wang, Yizhi & Wei, Yu & Lucey, Brian M. & Su, Yang, 2023. "Return spillover analysis across central bank digital currency attention and cryptocurrency markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    33. Karol Szafranek & Michał Rubaszek & Gazi Salah Uddin, 2023. "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," KAE Working Papers 2023-095, Warsaw School of Economics, Collegium of Economic Analysis.
    34. Jin Li, 2023. "Analysis of Evolving Hazard Overflows and Construction of an Alert System in the Chinese Finance Industry Using Statistical Learning Methods," Mathematics, MDPI, vol. 11(15), pages 1-26, July.
    35. Oana Panazan & Catalin Gheorghe, 2024. "Impact of Geopolitical Risk on G7 Financial Markets: A Comparative Wavelet Analysis between 2014 and 2022," Mathematics, MDPI, vol. 12(3), pages 1-22, January.
    36. Patel, Ritesh & Kumar, Sanjeev & Bouri, Elie & Iqbal, Najaf, 2023. "Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 143-162.
    37. Akyildirim, Erdinc & Aysan, Ahmet Faruk & Cepni, Oguzhan & Darendeli, S. Pinar Ceyhan, 2021. "Do investor sentiments drive cryptocurrency prices?," Economics Letters, Elsevier, vol. 206(C).
    38. Hoque, Mohammad Enamul & Soo-Wah, Low & Tiwari, Aviral Kumar & Akhter, Tahmina, 2023. "Time and frequency domain connectedness and spillover among categorical and regional financial stress, gold and bitcoin market," Resources Policy, Elsevier, vol. 85(PA).
    39. Ali, Shoaib & Ijaz, Muhammad Shahzad & Yousaf, Imran, 2023. "Dynamic spillovers and portfolio risk management between defi and metals: Empirical evidence from the Covid-19," Resources Policy, Elsevier, vol. 83(C).
    40. Qi, Xiaohong & Zhang, Guofu, 2022. "Dynamic connectedness of China’s green bonds and asset classes," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    41. Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021. "Volatility connectedness of major cryptocurrencies: The role of investor happiness," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    42. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    43. Zhang-Hangjian Chen & Xiang Gao & Apicha Insuwan, 2023. "Dynamic information spillover between Chinese carbon and stock markets under extreme weather shocks," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
    44. Giannellis, Nikolaos, 2022. "Cryptocurrency market connectedness in Covid-19 days and the role of Twitter: Evidence from a smooth transition regression model," Research in International Business and Finance, Elsevier, vol. 63(C).
    45. Lean, Hooi Hooi & Alkhazali, Osamah M. & Gleason, Kimberley & Yeap, Xiu Wei, 2024. "Connectedness and economic policy uncertainty spillovers to the ASEAN stock markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 167-186.
    46. Lau, Chi Keung & Soliman, Alaa M. & Albasu, Joseph & Gozgor, Giray, 2023. "Dependence structures among geopolitical risks, energy prices, and carbon emissions prices," Resources Policy, Elsevier, vol. 83(C).
    47. Jun Long & Xianghui Yuan & Liwei Jin & Chencheng Zhao, 2024. "Connectedness and risk spillover in China's commodity futures sectors," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 784-802, May.
    48. Furuoka, Fumitaka & Yaya, OlaOluwa Simon & Ling, Pui Kiew & Al-Faryan, Mamdouh Abdulaziz Saleh & Islam, M. Nazmul, 2023. "Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management," Resources Policy, Elsevier, vol. 81(C).
    49. Raza, Syed Ali & Guesmi, Khaled & Benkraiem, Ramzi & Anwar, Rija, 2024. "Precious metals and currency markets during the Russia-Ukraine conflict’s inflationary periods," Research in International Business and Finance, Elsevier, vol. 67(PA).
    50. Pan, Changchun & Zhang, Weiqi & Wang, Weiqiang, 2023. "Global geopolitical risk and volatility connectedness among China's sectoral stock markets," Finance Research Letters, Elsevier, vol. 58(PC).
    51. Muneer Shaik & Mohd Ziaur Rehman, 2023. "The Dynamic Volatility Connectedness of Major Environmental, Social, and Governance (ESG) Stock Indices: Evidence Based on DCC-GARCH Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 231-246, March.
    52. Zhang, Hua & Chen, Jinyu & Shao, Liuguo, 2021. "Dynamic spillovers between energy and stock markets and their implications in the context of COVID-19," International Review of Financial Analysis, Elsevier, vol. 77(C).
    53. Umar, Zaghum & Adekoya, Oluwasegun Babatunde & Oliyide, Johnson Ayobami & Gubareva, Mariya, 2021. "Media sentiment and short stocks performance during a systemic crisis," International Review of Financial Analysis, Elsevier, vol. 78(C).
    54. Dunbar, Kwamie, 2023. "CBDC uncertainty: Financial market implications," International Review of Financial Analysis, Elsevier, vol. 87(C).
    55. Cagli, Efe Caglar, 2023. "The volatility spillover between battery metals and future mobility stocks: Evidence from the time-varying frequency connectedness approach," Resources Policy, Elsevier, vol. 86(PA).
    56. Pawan Kumar & Vipul Kumar Singh, 2023. "Examining the Time Varying Spillover Dynamics of Indian Financial Indictors from Global and Local Economic Uncertainty," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(1), pages 99-121, March.
    57. Yang, Ming-Yuan & Chen, Zhanghangjian & Liang, Zongzheng & Li, Sai-Ping, 2023. "Dynamic and asymmetric connectedness in the global “Carbon-Energy-Stock” system under shocks from exogenous events," Journal of Commodity Markets, Elsevier, vol. 32(C).
    58. Yunhan Zhang & Qiang Ji & David Gabauer & Rangan Gupta, 2024. "How Connected is the Oil-Bank Network? Firm-Level and High-Frequency Evidence," Working Papers 202405, University of Pretoria, Department of Economics.
    59. Li, Yueshan & Chen, Shoudong & Sensoy, Ahmet & Wang, Lu, 2024. "Over-expected shocks and financial market security: Evidence from China's markets," Research in International Business and Finance, Elsevier, vol. 68(C).
    60. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
    61. Asadi, Mehrad & Balcilar, Mehmet & Sheikh, Umaid A. & Roubaud, David & Ghasemi, Hamid Reza, 2023. "Are there inextricable connections among automobile stocks, crude oil, steel, and the US dollar?," Energy Economics, Elsevier, vol. 128(C).
    62. Xu, Hao & Li, Songsong, 2023. "What impacts foreign capital flows to China's stock markets? Evidence from financial risk spillover networks," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 559-577.
    63. Aharon, David Y. & Kizys, Renatas & Umar, Zaghum & Zaremba, Adam, 2023. "Did David win a battle or the war against Goliath? Dynamic return and volatility connectedness between the GameStop stock and the high short interest indices," Research in International Business and Finance, Elsevier, vol. 64(C).
    64. Naeem, Muhammad Abubakr & Arfaoui, Nadia, 2023. "Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises," Energy Economics, Elsevier, vol. 127(PB).
    65. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
    66. David Gabauer & Rangan Gupta & Sayar Karmakar & Joshua Nielsen, 2022. "Stock Market Bubbles and the Forecastability of Gold Returns (and Volatility)," Working Papers 202228, University of Pretoria, Department of Economics.
    67. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
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    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Tiwari, Aviral Kumar & Aikins Abakah, Emmanuel Joel & Gabauer, David & Dwumfour, Richard Adjei, 2022. "Dynamic spillover effects among green bond, renewable energy stocks and carbon markets during COVID-19 pandemic: Implications for hedging and investments strategies," Global Finance Journal, Elsevier, vol. 51(C).
    3. Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
    4. Chen, Yu-Lun & Mo, Wan-Shin, 2023. "Determinants and dynamic interactions of trader positions in the gold futures market," Journal of Commodity Markets, Elsevier, vol. 31(C).
    5. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    6. Tam Hoang-Nhat Dang & Nhan Thien Nguyen & Duc Hong Vo, 2023. "Sectoral volatility spillovers and their determinants in Vietnam," Economic Change and Restructuring, Springer, vol. 56(1), pages 681-700, February.
    7. Bouri, Elie & Gabauer, David & Gupta, Rangan & Tiwari, Aviral Kumar, 2021. "Volatility connectedness of major cryptocurrencies: The role of investor happiness," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
    8. Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    9. Chatziantoniou, Ioannis & Gabauer, David & Perez de Gracia, Fernando, 2022. "Tail risk connectedness in the refined petroleum market: A first look at the impact of the COVID-19 pandemic," Energy Economics, Elsevier, vol. 111(C).
    10. Liu, Min, 2022. "The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 288-309.
    11. Toan Luu Duc Huynh, 2023. "When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 639-661, August.
    12. Chinmaya Behera & Pramod Kumar Mishra, 2022. "Interconnectedness and Nonlinearity in Indian Energy Futures During the COVID-19 Pandemic," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 3(2), pages 1-5.
    13. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    14. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2024. "Volatility spillovers across the spot and futures oil markets after news announcements," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    15. Funke, Michael & Loermann, Julius & Tsang, Andrew, 2020. "Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets," BOFIT Discussion Papers 22/2020, Bank of Finland Institute for Emerging Economies (BOFIT).
    16. Banerjee, Ameet Kumar & Pradhan, H.K. & Sensoy, Ahmet & Goodell, John W., 2024. "Assessing the US financial sector post three bank collapses: Signals from fintech and financial sector ETFs," International Review of Financial Analysis, Elsevier, vol. 91(C).
    17. Salem, Leila Ben & Zayati, Montassar & Nouira, Ridha & Rault, Christophe, 2024. "Volatility Spillover between Oil Prices and Main Exchange Rates: Evidence from a DCC-GARCH-Connectedness Approach," IZA Discussion Papers 16832, Institute of Labor Economics (IZA).
    18. Yang, Yang & Tang, Yanling & Zhang, Ren & Wu, Li, 2023. "Investigating the impact of technology and noise shocks on capital flows," Finance Research Letters, Elsevier, vol. 56(C).
    19. Banerjee, Ameet Kumar & Sensoy, Ahmet & Goodell, John W., 2024. "Connectivity and spillover during crises: Highlighting the prominent and growing role of green energy," Energy Economics, Elsevier, vol. 129(C).
    20. Xin Li, 2022. "Dynamic spillovers between U.S. climate policy uncertainty and global foreign exchange markets: the pass-through effect of crude oil prices," Letters in Spatial and Resource Sciences, Springer, vol. 15(3), pages 665-673, December.
    21. Benlagha, Noureddine & Omari, Salaheddine El, 2022. "Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 46(PB).
    22. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2022. "Volatility spillover and investment strategies among sustainability-related financial indexes: Evidence from the DCC-GARCH-based dynamic connectedness and DCC-GARCH t-copula approach," International Review of Financial Analysis, Elsevier, vol. 83(C).
    23. Liu, Min & Lee, Chien-Chiang, 2021. "Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting," Energy Economics, Elsevier, vol. 103(C).
    24. Benlagha, Noureddine & Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M. & Vigne, Samuel A., 2022. "Risk connectedness between energy and stock markets: Evidence from oil importing and exporting countries," Energy Economics, Elsevier, vol. 115(C).
    25. Wang, Xuetong & Fang, Fang & Ma, Shiqun & Xiang, Lijin & Xiao, Zumian, 2024. "Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    26. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
    27. Oktay Ozkan & Salah Abosedra & Arshian Sharif & Andrew Adewale Alola, 2024. "Dynamic volatility among fossil energy, clean energy and major assets: evidence from the novel DCC-GARCH," Economic Change and Restructuring, Springer, vol. 57(3), pages 1-19, June.
    28. Mishra, Aswini Kumar & Ghate, Kshitish, 2022. "Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches," Resources Policy, Elsevier, vol. 76(C).
    29. Chatziantoniou, Ioannis & Elsayed, Ahmed H. & Gabauer, David & Gozgor, Giray, 2023. "Oil price shocks and exchange rate dynamics: Evidence from decomposed and partial connectedness measures for oil importing and exporting economies," Energy Economics, Elsevier, vol. 120(C).
    30. Osman, Myriam Ben & Urom, Christian & Guesmi, Khaled & Benkraiem, Ramzi, 2024. "Economic sentiment and the cryptocurrency market in the post-COVID-19 era," International Review of Financial Analysis, Elsevier, vol. 91(C).

  38. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Gabauer, David, 2019. "Cryptocurrency market contagion: Market uncertainty, market complexity, and dynamic portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 37-51.

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    1. Bouri, Elie & Cepni, Oguzhan & Gabauer, David & Gupta, Rangan, 2021. "Return connectedness across asset classes around the COVID-19 outbreak," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Koroma, Jonathan & Rongting, Zhou & Muhideen, Sayibu & Akintunde, Tosin Yinka & Amosun, Tunde Simeon & Dauda, Sahr James & Sawaneh, Ibrahim Abdulai, 2022. "Assessing citizens' behavior towards blockchain cryptocurrency adoption in the Mano River Union States: Mediation, moderation role of trust and ethical issues," Technology in Society, Elsevier, vol. 68(C).
    3. Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
    4. Akyildirim, Erdinç & Corbet, Shaen & Cumming, Douglas & Lucey, Brian & Sensoy, Ahmet, 2020. "Riding the Wave of Crypto-Exuberance: The Potential Misusage of Corporate Blockchain Announcements," Technological Forecasting and Social Change, Elsevier, vol. 159(C).
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    34. Mudassar Hasan & Muhammad Abubakr Naeem & Muhammad Arif & Syed Jawad Hussain Shahzad & Safwan Mohd Nor, 2020. "Role of Economic Policy Uncertainty in the Connectedness of Cross-Country Stock Market Volatilities," Mathematics, MDPI, vol. 8(11), pages 1-17, October.
    35. Caraiani, Petre & Gupta, Rangan & Nel, Jacobus & Nielsen, Joshua, 2023. "Monetary policy and bubbles in G7 economies using a panel VAR approach: Implications for sustainable development," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 133-155.
    36. Naeem, Muhammad Abubakr & Gul, Raazia & Shafiullah, Muhammad & Karim, Sitara & Lucey, Brian M., 2024. "Tail risk spillovers between Shanghai oil and other markets," Energy Economics, Elsevier, vol. 130(C).
    37. Elsayed, Ahmed H. & Gozgor, Giray & Yarovaya, Larisa, 2022. "Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices," Finance Research Letters, Elsevier, vol. 47(PB).
    38. Manel Youssef & Khaled Mokni & Ahdi Noomen Ajmi, 2021. "Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    39. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.
    40. Evrim Mandaci, Pınar & Azimli, Asil & Mandaci, Nazif, 2023. "The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach," Resources Policy, Elsevier, vol. 85(PA).

  40. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan, 2019. "Greek economic policy uncertainty: Does it matter for Europe? Evidence from a dynamic connectedness decomposition approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

    Cited by:

    1. Cui Jinxin & Zou Huiwen, 2020. "Connectedness Among Economic Policy Uncertainties: Evidence from the Time and Frequency Domain Perspectives," Journal of Systems Science and Information, De Gruyter, vol. 8(5), pages 401-433, October.
    2. Christos Floros, 2020. "Banking Development and Economy in Greece: Evidence from Regional Data," JRFM, MDPI, vol. 13(10), pages 1-13, October.
    3. Zhou, Yuqin & Liu, Zhenhua & Wu, Shan, 2022. "The global economic policy uncertainty spillover analysis: In the background of COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 61(C).
    4. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Political uncertainty, COVID-19 pandemic and stock market volatility transmission," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    5. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
    6. Brandt, Richard, 2021. "Economic Policy Uncertainty Index: Extension and optimization of Scott R. Baker, Nicholas Bloom and Steven J. Davis's search term," DoCMA Working Papers 5, TU Dortmund University, Dortmund Center for Data-based Media Analysis (DoCMA).
    7. Śmiech, Sławomir & Papież, Monika & Shahzad, Syed Jawad Hussain, 2020. "Spillover among financial, industrial and consumer uncertainties. The case of EU member states," International Review of Financial Analysis, Elsevier, vol. 70(C).
    8. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    9. Zhang, Yulian & Hamori, Shigeyuki, 2021. "Do news sentiment and the economic uncertainty caused by public health events impact macroeconomic indicators? Evidence from a TVP-VAR decomposition approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 145-162.
    10. Dorine Boumans & Henrik Müller & Stefan Sauer, 2022. "How Media Content Influences Economic Expectations: Evidence from a Global Expert Survey," ifo Working Paper Series 380, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    11. Rabbani, Mustafa Raza & Billah, Syed Mabruk & Shaik, Muneer & Rahman, Mashuk & Boujlil, Rhada, 2023. "Dynamic connectedness, spillover, and optimal hedging strategy among FinTech, Sukuk, and Islamic equity markets," Global Finance Journal, Elsevier, vol. 58(C).

  41. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
    See citations under working paper version above.
  42. Antonakakis, Nikolaos & Gabauer, David & Gupta, Rangan & Plakandaras, Vasilios, 2018. "Dynamic connectedness of uncertainty across developed economies: A time-varying approach," Economics Letters, Elsevier, vol. 166(C), pages 63-75.
    See citations under working paper version above.
  43. Nikolaos Antonakakis & Ioannis Chatziantoniou & Christos Floros & David Gabauer, 2018. "The dynamic connectedness of UK regional property returns," Urban Studies, Urban Studies Journal Limited, vol. 55(14), pages 3110-3134, November.

    Cited by:

    1. Lo Cascio, Iolanda, 2021. "A wavelet analysis of the ripple effect in UK regional housing markets," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1093-1105.
    2. Aviral Kumar Tiwari & Christophe André & Rangan Gupta, 2020. "Spillovers between US real estate and financial assets in time and frequency domains," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 38(6), pages 525-537, April.
    3. I-Chun Tsai & Che-Chun Lin, 2019. "Variations and Influences of Connectedness among US Housing Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 27-58.
    4. David Gabauer & Rangan Gupta & Hardik A. Marfatia & Stephen M. Miller, 2020. "Estimating U.S. Housing Price Network Connectedness: Evidence from Dynamic Elastic Net, Lasso, and Ridge Vector Autoregressive Models," Working Papers 202065, University of Pretoria, Department of Economics.
    5. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    6. Narayan, Paresh Kumar, 2022. "Understanding exchange rate shocks during COVID-19," Finance Research Letters, Elsevier, vol. 45(C).
    7. Yusupova, Alisa & Pavlidis, Nicos G. & Pavlidis, Efthymios G., 2023. "Dynamic linear models with adaptive discounting," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1925-1944.
    8. Tsai, I-Chun, 2022. "Changes in social behavior and impacts of the COVID-19 pandemic on regional housing markets: Independence and risk," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
    9. Dayong Zhang & Qiang Ji & Wan-Li Zhao & Nicholas J Horsewood, 2021. "Regional housing price dependency in the UK: A dynamic network approach," Urban Studies, Urban Studies Journal Limited, vol. 58(5), pages 1014-1031, April.
    10. Çelik, İsmail & Sak, Ahmet Furkan & Höl, Arife Özdemir & Vergili, Gizem, 2022. "The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    11. I-Chun Tsai, 2022. "The connectedness between Hong Kong and China real estate markets: spillover effect and information transmission," Empirical Economics, Springer, vol. 63(1), pages 287-311, July.
    12. Alisa Yusupova & Nicos G. Pavlidis & Efthymios G. Pavlidis, 2019. "Adaptive Dynamic Model Averaging with an Application to House Price Forecasting," Papers 1912.04661, arXiv.org.
    13. Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Syed, Iqbal, 2021. "Information transmission between oil and housing markets," Energy Economics, Elsevier, vol. 95(C).
    14. Lu, Yunzhi & Li, Jie & Yang, Haisheng, 2021. "Time-varying inter-urban housing price spillovers in China: Causes and consequences," Journal of Asian Economics, Elsevier, vol. 77(C).
    15. Oguzhan Cepni & Hardik A. Marfatia & Rangan Gupta, 2021. "The Time-Varying Impact of Uncertainty Shocks on the Comovement of Regional Housing Prices of the United Kingdom," Working Papers 202168, University of Pretoria, Department of Economics.
    16. Li, Kaifeng & Devpura, Neluka & Cheng, Sijia, 2022. "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).
    17. Ellington, Michael & Fu, Xi & Zhu, Yunyi, 2023. "Real estate illiquidity and returns: A time-varying regional perspective," International Journal of Forecasting, Elsevier, vol. 39(1), pages 58-72.
    18. Lee, Hahn Shik & Lee, Woo Suk, 2019. "Cross-regional connectedness in the Korean housing market," Journal of Housing Economics, Elsevier, vol. 46(C).
    19. Billah, Mabruk & Amar, Amine Ben & Balli, Faruk, 2023. "The extreme return connectedness between Sukuk and green bonds and their determinants and consequences for investors," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    20. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2021. "A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 66(2), pages 279-307, April.
    21. Tian, Tingting & Lai, Kee-hung & Wong, Christina W.Y., 2022. "Connectedness mechanisms in the “Carbon-Commodity-Finance” system: Investment and management policy implications for emerging economies," Energy Policy, Elsevier, vol. 169(C).
    22. So Jung Hwang & Hyunduk Suh, 2018. "Analyzing Dynamic Connectedness in Korean Housing Markets," Inha University IBER Working Paper Series 2018-4, Inha University, Institute of Business and Economic Research.
    23. Saeed, Tareq & Bouri, Elie & Alsulami, Hamed, 2021. "Extreme return connectedness and its determinants between clean/green and dirty energy investments," Energy Economics, Elsevier, vol. 96(C).
    24. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    25. Edib Smolo & Ruslan Nagayev & Rashed Jahangir & Christo S. C. Tarazi, 2024. "Resilience amidst turmoil: a multi-resolution analysis of portfolio diversification in emerging markets during global financial and health crises," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 51-69, February.
    26. Chen, Jia & Shin, Yongcheol & Zheng, Chaowen, 2022. "Estimation and inference in heterogeneous spatial panels with a multifactor error structure," Journal of Econometrics, Elsevier, vol. 229(1), pages 55-79.
    27. Mishra, Aswini Kumar & Ghate, Kshitish, 2022. "Dynamic connectedness in non-ferrous commodity markets: Evidence from India using TVP-VAR and DCC-GARCH approaches," Resources Policy, Elsevier, vol. 76(C).
    28. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2019. "A Regional Decomposition of US Housing Prices and Volume: Market Dynamics and Economic Diversification Opportunities," Working Papers in Economics & Finance 2019-06, University of Portsmouth, Portsmouth Business School, Economics and Finance Subject Group.

  44. Gabauer, David & Gupta, Rangan, 2018. "On the transmission mechanism of country-specific and international economic uncertainty spillovers: Evidence from a TVP-VAR connectedness decomposition approach," Economics Letters, Elsevier, vol. 171(C), pages 63-71.
    See citations under working paper version above.

Chapters

  1. David C. Broadstock & Ioannis Chatziantoniou & David Gabauer, 2022. "Minimum Connectedness Portfolios and the Market for Green Bonds: Advocating Socially Responsible Investment (SRI) Activity," Springer Books, in: Christos Floros & Ioannis Chatziantoniou (ed.), Applications in Energy Finance, chapter 0, pages 217-253, Springer.

    Cited by:

    1. Wei, Yu & Wang, Yizhi & Vigne, Samuel A. & Ma, Zhenyu, 2023. "Alarming contagion effects: The dangerous ripple effect of extreme price spillovers across crude oil, carbon emission allowance, and agriculture futures markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    2. Wan, Jieru & Yin, Libo & Wu, You, 2024. "Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 397-428.
    3. Gabauer, David & Chatziantoniou, Ioannis & Stenfors, Alexis, 2023. "Model-free connectedness measures," Finance Research Letters, Elsevier, vol. 54(C).
    4. Cagli, Efe Caglar, 2023. "The volatility spillover between battery metals and future mobility stocks: Evidence from the time-varying frequency connectedness approach," Resources Policy, Elsevier, vol. 86(PA).
    5. Su, Xianfang & Zhao, Yachao, 2023. "What has the strongest connectedness with clean energy? Technology, substitutes, or raw materials," Energy Economics, Elsevier, vol. 128(C).
    6. Kumar, Pawan & Singh, Vipul Kumar & Rao, Sandeep, 2023. "Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?," Energy Economics, Elsevier, vol. 119(C).
    7. Wang, Yu-Min & Lin, Che-Chun & Tsai, I-Chun, 2023. "State transformation of information spillover in asset markets and effective dynamic hedging strategies," International Review of Financial Analysis, Elsevier, vol. 89(C).
    8. Lu, Ran & Xu, Wen & Zeng, Hongjun & Zhou, Xiangjing, 2023. "Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1465-1481.
    9. Umar, Zaghum & Riaz, Yasir & Shahab, Yasir & Teplova, Tamara, 2023. "Network connectedness of the term structure of yield curve and global Sukuks," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    10. Raza, Syed Ali & Sharif, Arshian & Kumar, Satish & Ahmed, Maiyra, 2023. "Connectedness between monetary policy uncertainty and sectoral stock market returns: Evidence from asymmetric TVP-VAR approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    11. Stenfors, Alexis & Chatziantoniou, Ioannis & Gabauer, David, 2022. "Independent policy, dependent outcomes: A game of cross-country dominoes across European yield curves," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    12. Cunado, Juncal & Chatziantoniou, Ioannis & Gabauer, David & de Gracia, Fernando Perez & Hardik, Marfatia, 2023. "Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures," Journal of Commodity Markets, Elsevier, vol. 30(C).
    13. Cagli, Efe Caglar & Mandaci, Pinar Evrim, 2023. "Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets," Emerging Markets Review, Elsevier, vol. 55(C).
    14. Nini Johana Marín-Rodríguez & Juan David González-Ruiz & Alejandro Valencia-Arias, 2023. "Incorporating Green Bonds into Portfolio Investments: Recent Trends and Further Research," Sustainability, MDPI, vol. 15(20), pages 1-32, October.
    15. Lang, Chunlin & Hu, Yang & Corbet, Shaen & Goodell, John W., 2023. "Dynamic return connectedness between commodities and travel & leisure ETFs: Investment strategies and portfolio implications," Finance Research Letters, Elsevier, vol. 58(PB).
    16. Lei, Heng & Xue, Minggao & Liu, Huiling & Ye, Jing, 2023. "Precious metal as a safe haven for global ESG stocks: Portfolio implications for socially responsible investing," Resources Policy, Elsevier, vol. 80(C).
    17. Wu, You & Ren, Wenting & Wan, Jieru & Liu, Xiaoxue, 2023. "Time-frequency volatility connectedness between fossil energy and agricultural commodities: Comparing the COVID-19 pandemic with the Russia-Ukraine conflict," Finance Research Letters, Elsevier, vol. 55(PA).
    18. Cui, Jinxin & Alshater, Muneer M. & Mensi, Walid, 2023. "Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets," Resources Policy, Elsevier, vol. 86(PA).
    19. Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "Dynamic connectedness between non-fungible tokens, decentralized finance, and conventional financial assets in a time-frequency framework," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
    20. Hoque, Mohammad Enamul & Soo-Wah, Low & Billah, Mabruk, 2023. "Time-frequency connectedness and spillover among carbon, climate, and energy futures: Determinants and portfolio risk management implications," Energy Economics, Elsevier, vol. 127(PB).
    21. Polat, Onur & Ertuğrul, Hasan Murat & Sakarya, Burçhan & Akgül, Ali, 2024. "TVP-VAR based time and frequency domain food & energy commodities connectedness an analysis for financial/geopolitical turmoil episodes," Applied Energy, Elsevier, vol. 357(C).
    22. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
    23. Song, Feng & Cui, Jian & Yu, Yihua, 2022. "Dynamic volatility spillover effects between wind and solar power generations: Implications for hedging strategies and a sustainable power sector," Economic Modelling, Elsevier, vol. 116(C).
    24. Naeem, Muhammad Abubakr & Chatziantoniou, Ioannis & Gabauer, David & Karim, Sitara, 2024. "Measuring the G20 stock market return transmission mechanism: Evidence from the R2 connectedness approach," International Review of Financial Analysis, Elsevier, vol. 91(C).
    25. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.

  2. Ioannis Chatziantoniou & Christos Floros & David Gabauer, 2022. "Volatility Contagion Between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19: A TVP-VAR Extended Joint Connectedness Approach," Springer Books, in: Christos Floros & Ioannis Chatziantoniou (ed.), Applications in Energy Finance, chapter 0, pages 145-168, Springer.

    Cited by:

    1. Guru, Biplab Kumar & Pradhan, Ashis Kumar & Bandaru, Ramakrishna, 2023. "Volatility contagion between oil and the stock markets of G7 countries plus India and China," Resources Policy, Elsevier, vol. 81(C).
    2. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).

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