IDEAS home Printed from https://ideas.repec.org/a/sae/ausman/v50y2025i1p200-219.html

The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19

Author

Listed:
  • Spyros Papathanasiou
  • Dimitrios Vasiliou
  • Anastasios Magoutas
  • Drosos Koutsokostas

Abstract

In view of the need for portfolio diversification, we investigate the interlinkages between a private equity ETF and a set of high-demand asset classes including bonds, equities, crude oil, gold, commodities, currency, Bitcoin, and shipping within a spillover framework. For this objective, we apply the enhanced modification of the Diebold and Yilmaz approach for the period 1 January 2010 to 31 January 2023. The empirical findings indicate a modest degree of connectedness among the investigated markets, whereas volatility spillovers showed acceleration during tumultuous periods. In addition, we assess the capacity of private equities for hedging, for the whole sample period and during COVID-19 infectious disease, in order to suggest investors for potential portfolio restructures. Results demonstrate that the short position in the volatility of private equity ETF can result in strong hedging effectiveness for investors holding long positions in Bitcoin, shipping, bonds, and crude oil. JEL Classification: C32, C58, G11, G15

Suggested Citation

  • Spyros Papathanasiou & Dimitrios Vasiliou & Anastasios Magoutas & Drosos Koutsokostas, 2025. "The dynamic connectedness between private equities and other high-demand financial assets: A portfolio hedging strategy during COVID-19," Australian Journal of Management, Australian School of Business, vol. 50(1), pages 200-219, February.
    • Handle: RePEc:sae:ausman:v:50:y:2025:i:1:p:200-219
    DOI: 10.1177/03128962231184658
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/03128962231184658
    Download Restriction: no
    File URL: https://libkey.io/10.1177/03128962231184658?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Brian M. Lucey & Sile Li, 2015. "What precious metals act as safe havens, and when? Some US evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 35-45, January.
    2. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    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. Cao, Xiaping & Chan, Konan & Kahle, Kathleen, 2018. "Risk and performance of bonds sponsored by private equity firms," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 41-53.
    5. Chen, Yuxuan & Chiu, Junmao & Chung, Huimin, 2022. "Givers or Receivers? Return and volatility spillovers between Fintech and the Traditional Financial Industry," Finance Research Letters, Elsevier, vol. 46(PB).
    6. Kang, Sanghoon & Hernandez, Jose Arreola & Sadorsky, Perry & McIver, Ronald, 2021. "Frequency spillovers, connectedness, and the hedging effectiveness of oil and gold for US sector ETFs," Energy Economics, Elsevier, vol. 99(C).
    7. Li, Jingyu & Liu, Ranran & Yao, Yanzhen & Xie, Qiwei, 2022. "Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19," Resources Policy, Elsevier, vol. 77(C).
    8. 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).
    9. Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Al-Yahyaee, Khamis Hamed & Kang, Sang Hoon, 2019. "Risk spillovers and hedging effectiveness between major commodities, and Islamic and conventional GCC banks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 68-88.
    10. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    11. 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).
    12. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    13. Harris, Robert S. & Jenkinson, Tim & Kaplan, Steven N. & Stucke, Ruediger, 2018. "Financial intermediation in private equity: How well do funds of funds perform?," Journal of Financial Economics, Elsevier, vol. 129(2), pages 287-305.
    14. Hege, Ulrich & Lovo, Stefano & Slovin, Myron B. & Sushka, Marie E., 2018. "Divisional buyouts by private equity and the market for divested assets," Journal of Corporate Finance, Elsevier, vol. 53(C), pages 21-37.
    15. Aristeidis Samitas & Spyros Papathanasiou & Drosos Koutsokostas, 2021. "The connectedness between Sukuk and conventional bond markets and the implications for investors," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 14(5), pages 928-949, May.
    16. Umar, Zaghum & Kenourgios, Dimitris & Papathanasiou, Sypros, 2020. "The static and dynamic connectedness of environmental, social, and governance investments: International evidence," Economic Modelling, Elsevier, vol. 93(C), pages 112-124.
    17. Kroner, Kenneth F. & Sultan, Jahangir, 1993. "Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 535-551, December.
    18. 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).
    19. Papathanasiou, Spyros & Dokas, Ioannis & Koutsokostas, Drosos, 2022. "Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    20. 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).
    21. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors," Finance Research Letters, Elsevier, vol. 47(PA).
    22. Zhang, Wenting & Hamori, Shigeyuki, 2021. "Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany," International Review of Financial Analysis, Elsevier, vol. 74(C).
    23. Lars Forsberg & Eric Ghysels, 2007. "Why Do Absolute Returns Predict Volatility So Well?," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 31-67.
    24. Papathanasiou, Spyros & Vasiliou, Dimitrios & Magoutas, Anastasios & Koutsokostas, Drosos, 2022. "Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach," Finance Research Letters, Elsevier, vol. 44(C).
    25. Lastrapes, William D. & Wiesen, Thomas F.P., 2021. "The joint spillover index," Economic Modelling, Elsevier, vol. 94(C), pages 681-691.
    26. Morten Sorensen & Ravi Jagannathan, 2015. "The Public Market Equivalent and Private Equity Performance," Financial Analysts Journal, Taylor & Francis Journals, vol. 71(4), pages 43-50, July.
    27. Tiwari, Aviral Kumar & Cunado, Juncal & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility spillovers across global asset classes: Evidence from time and frequency domains," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 194-202.
    28. Liow, Kim Hiang, 2015. "Volatility spillover dynamics and relationship across G7 financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 328-365.
    29. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.
    30. Engle, Robert, 2002. "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 339-350, July.
    31. Duncan, Andrew S. & Kabundi, Alain, 2013. "Domestic and foreign sources of volatility spillover to South African asset classes," Economic Modelling, Elsevier, vol. 31(C), pages 566-573.
    32. 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).
    33. Yousaf, Imran & Yarovaya, Larisa, 2022. "Static and dynamic connectedness between NFTs, Defi and other assets: Portfolio implication," Global Finance Journal, Elsevier, vol. 53(C).
    34. Akhtaruzzaman, Md & Boubaker, Sabri & Lucey, Brian M. & Sensoy, Ahmet, 2021. "Is gold a hedge or a safe-haven asset in the COVID–19 crisis?," Economic Modelling, Elsevier, vol. 102(C).
    35. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-844.
    36. Holcomb, Alex & Mason, Paul & Zhang, Harold H., 2020. "Investment income taxes and private equity acquisition activity," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 25-51.
    37. Papathanasiou, Spyros & Koutsokostas, Drosos & Pergeris, Georgios, 2022. "Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs," Finance Research Letters, Elsevier, vol. 47(PA).
    38. Diebold, Francis X. & Yilmaz, Kamil, 2012. "Better to give than to receive: Predictive directional measurement of volatility spillovers," International Journal of Forecasting, Elsevier, vol. 28(1), pages 57-66.
    39. Elsayed, Ahmed H. & Nasreen, Samia & Tiwari, Aviral Kumar, 2020. "Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies," Energy Economics, Elsevier, vol. 90(C).
    40. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
    41. Dong, Qi & Slovin, Myron B. & Sushka, Marie E., 2020. "Private equity exits after IPOs," Journal of Corporate Finance, Elsevier, vol. 64(C).
    42. Umar, Zaghum & Polat, Onur & Choi, Sun-Yong & Teplova, Tamara, 2022. "The impact of the Russia-Ukraine conflict on the connectedness of financial markets," Finance Research Letters, Elsevier, vol. 48(C).
    43. Braun, Reiner & Jenkinson, Tim & Schemmerl, Christoph, 2020. "Adverse selection and the performance of private equity co-investments," Journal of Financial Economics, Elsevier, vol. 136(1), pages 44-62.
    44. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
    45. Liow, Kim Hiang & Liao, Wen-Chi & Huang, Yuting, 2018. "Dynamics of international spillovers and interaction: Evidence from financial market stress and economic policy uncertainty," Economic Modelling, Elsevier, vol. 68(C), pages 96-116.
    46. 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.
    47. Ciner, Cetin & Gurdgiev, Constantin & Lucey, Brian M., 2013. "Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 202-211.
    48. Wang, Gang-Jin & Xie, Chi & Jiang, Zhi-Qiang & Eugene Stanley, H., 2016. "Who are the net senders and recipients of volatility spillovers in China’s financial markets?," Finance Research Letters, Elsevier, vol. 18(C), pages 255-262.
    49. Awartani, Basel & Aktham, Maghyereh & Cherif, Guermat, 2016. "The connectedness between crude oil and financial markets: Evidence from implied volatility indices," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 56-69.
    50. Brown, Gregory & Harris, Robert & Hu, Wendy & Jenkinson, Tim & Kaplan, Steven N. & Robinson, David T., 2021. "Can investors time their exposure to private equity?," Journal of Financial Economics, Elsevier, vol. 139(2), pages 561-577.
    51. repec:eme:mfppss:mf-10-2016-0293 is not listed on IDEAS
    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. Thi Thu Ha Nguyen & Faruk Balli & Hatice Ozer Balli & Iqbal Syed, 2022. "Direct real estate, securitized real estate, and equity market dynamic connectedness," Applied Economics, Taylor & Francis Journals, vol. 54(23), pages 2658-2677, May.
    54. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2021. "The realized volatility of commodity futures: Interconnectedness and determinants#," International Review of Economics & Finance, Elsevier, vol. 73(C), pages 139-151.
    55. Mensi, Walid & Hernandez, Jose Arroeola & Yoon, Seong-Min & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor," International Review of Financial Analysis, Elsevier, vol. 74(C).
    56. Bouri, Elie & Shahzad, Syed Jawad Hussain & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2020. "Bitcoin, gold, and commodities as safe havens for stocks: New insight through wavelet analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 156-164.
    57. Thomas Conlon & Brian M. Lucey & Gazi Salah Uddin, 2018. "Is gold a hedge against inflation? A wavelet time-scale perspective," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 317-345, August.
    58. Aristeidis Samitas & Spyros Papathanasiou & Drosos Koutsokostas, 2021. "The connectedness between Sukuk and conventional bond markets and the implications for investors," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, vol. 14(5), pages 928-949, May.
    59. Zhang, Dayong, 2017. "Oil shocks and stock markets revisited: Measuring connectedness from a global perspective," Energy Economics, Elsevier, vol. 62(C), pages 323-333.
    60. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    61. Shahzad, Syed Jawad Hussain & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav & Lucey, Brian, 2019. "Is Bitcoin a better safe-haven investment than gold and commodities?," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 322-330.
    62. Tiwari, Aviral Kumar & Mishra, Bibhuti Ranjan & Solarin, Sakiru Adebola, 2021. "Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA," Energy, Elsevier, vol. 220(C).
    63. Zhao, Wan-Li & Fan, Ying & Ji, Qiang, 2022. "Extreme risk spillover between crude oil price and financial factors," Finance Research Letters, Elsevier, vol. 46(PA).
    64. Aldatmaz, Serdar & Brown, Gregory W., 2020. "Private equity in the global economy: Evidence on industry spillovers," Journal of Corporate Finance, Elsevier, vol. 60(C).
    65. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
    66. Zhang, Dayong & Lei, Lei & Ji, Qiang & Kutan, Ali M., 2019. "Economic policy uncertainty in the US and China and their impact on the global markets," Economic Modelling, Elsevier, vol. 79(C), pages 47-56.
    67. Luo, Jiawen & Ji, Qiang, 2018. "High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets," Energy Economics, Elsevier, vol. 76(C), pages 424-438.
    68. Nidal Rashid Sabri, 2004. "Stock Return Volatility and Market Crisis In Emerging Economies," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 3(3), pages 59-83, March.
    69. Andriosopoulos, Dimitris & Panetsidou, Styliani, 2021. "A global analysis of Private Investments in Public Equity," Journal of Corporate Finance, Elsevier, vol. 69(C).
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Díaz, Antonio & Esparcia, Carlos & Tegtmeier, Lars, 2025. "Private equity market dynamics: Beyond the surface," International Review of Economics & Finance, Elsevier, vol. 100(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
    2. Papathanasiou, Spyros & Dokas, Ioannis & Koutsokostas, Drosos, 2022. "Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    3. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2024. "The dynamic connectedness between collateralized loan obligations and major asset classes: a TVP-VAR approach and portfolio hedging strategies for investors," Empirical Economics, Springer, vol. 67(3), pages 1063-1089, September.
    4. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Volatility spillovers between fine wine and major global markets during COVID-19: A portfolio hedging strategy for investors," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 629-642.
    5. Papathanasiou, Spyros & Syriopoulos, Theodore & Kenourgios, Dimitris & Koutsokostas, Drosos, 2025. "Sailing through uncertainty: Shipping's role in financial shock transmission and hedging strategies," Global Finance Journal, Elsevier, vol. 67(C).
    6. 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).
    7. Yousfi, Mohamed & Farhani, Ramzi & Bouzgarrou, Houssam, 2024. "From the pandemic to the Russia–Ukraine crisis: Dynamic behavior of connectedness between financial markets and implications for portfolio management," Economic Analysis and Policy, Elsevier, vol. 81(C), pages 1178-1197.
    8. Azimli, Asil, 2024. "Is gold a safe haven for the U.S. dollar during extreme conditions?," International Economics, Elsevier, vol. 177(C).
    9. Evrim Mandacı, Pınar & Cagli, Efe Çaglar & Taşkın, Dilvin, 2020. "Dynamic connectedness and portfolio strategies: Energy and metal markets," Resources Policy, Elsevier, vol. 68(C).
    10. Mbarek, Marouene & Msolli, Badreddine, 2025. "Assessing linkages between supply chain tokens and other assets: Evidence from a time-frequency quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 46(C).
    11. Samitas, Aristeidis & Papathanasiou, Spyros & Koutsokostas, Drosos & Kampouris, Elias, 2022. "Are timber and water investments safe-havens? A volatility spillover approach and portfolio hedging strategies for investors," Finance Research Letters, Elsevier, vol. 47(PA).
    12. Szafranek, Karol & Rubaszek, Michał & Uddin, Gazi Salah, 2024. "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets," Energy Economics, Elsevier, vol. 137(C).
    13. Al-Nassar, Nassar S. & Boubaker, Sabri & Chaibi, Anis & Makram, Beljid, 2023. "In search of hedges and safe havens during the COVID─19 pandemic: Gold versus Bitcoin, oil, and oil uncertainty," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 318-332.
    14. Spyros Papathanasiou & Anastasios Magoutas & Drosos Koutsokostas, 2026. "The systemic footprint: revisiting risk mitigation in long/short and 60/40 portfolios through network connectedness," Review of Derivatives Research, Springer, vol. 29(1), pages 1-31, December.
    15. Cui, Jinxin & Maghyereh, Aktham & Liao, Dijia, 2024. "Risk connectedness between international oil and stock markets during the COVID-19 pandemic and the Russia-Ukraine conflict: Fresh evidence from the higher-order moments," International Review of Economics & Finance, Elsevier, vol. 95(C).
    16. N.S. Al-Nassar & Sabri Boubaker & A. Chaibi & B. Makram, 2023. "In Search of Hedges and Safe Havens during the COVID-19 Pandemic: Gold versus Bitcoin, Oil, and Oil Uncertainty," Post-Print hal-04435437, HAL.
    17. Papathanasiou, Spyros & Vasiliou, Dimitrios & Magoutas, Anastasios & Koutsokostas, Drosos, 2022. "Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach," Finance Research Letters, Elsevier, vol. 44(C).
    18. Malhotra, Priya & Kumar, Sanjeev & Gubareva, Mariya & Mendes, José Zorro, 2026. "Dynamic nexus of clean energy metals, energy commodities and traditional assets: Multidimensional techniques and portfolio analysis," Research in International Business and Finance, Elsevier, vol. 81(C).
    19. 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).
    20. Lang, Chunlin & Xu, Danyang & Corbet, Shaen & Hu, Yang & Goodell, John W., 2024. "Global financial risk and market connectedness: An empirical analysis of COVOL and major financial markets," International Review of Financial Analysis, Elsevier, vol. 93(C).

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:ausman:v:50:y:2025:i:1:p:200-219. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.agsm.edu.au .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.