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High-dimensional CoVaR network connectedness for measuring conditional financial contagion and risk spillovers from oil markets to the G20 stock system

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Cited by:

  1. Lyu, Yongjian & Yi, Heling & Yang, Mo & Zou, Yihan & Li, Ding & Qin, Zhilong, 2025. "Financial uncertainty shocks and systemic risk: Revealing the risk spillover from the oil market to the stock market," Applied Energy, Elsevier, vol. 382(C).
  2. 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).
  3. Li, Hailing & Pei, Xiaoyun & Yang, Yimin & Zhang, Hua, 2024. "Assessing the impact of energy-related uncertainty on G20 stock market returns: A decomposed contemporaneous and lagged R2 connectedness approach," Energy Economics, Elsevier, vol. 132(C).
  4. Mensi, Walid & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2022. "Spillovers and diversification benefits between oil futures and ASEAN stock markets," Resources Policy, Elsevier, vol. 79(C).
  5. Melo-Velandia, Luis Fernando & Romero, José Vicente & Ramírez-González, Mahicol Stiben, 2025. "The Global Financial Cycle and country risk in emerging markets during stress episodes: A Copula-CoVaR approach," Research in International Business and Finance, Elsevier, vol. 73(PA).
  6. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Adeabah, David & Sahay, Vinita S., 2024. "Time-varying relationship between international monetary policy and energy markets," Energy Economics, Elsevier, vol. 131(C).
  7. Kayani, Umar Nawaz & Hassan, M. Kabir & Moussa, Faten & Hossain, Gazi Farid, 2023. "Oil in crisis: What can we learn," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
  8. Shaowei Chen & Long Guo & Weike Zhang, 2023. "Financial Risk Measurement and Spatial Spillover Effects Based on an Imported Financial Risk Network: Evidence from Countries along the Belt and Road," Mathematics, MDPI, vol. 11(6), pages 1-25, March.
  9. Cevik, Emrah Ismail & Caliskan Terzioglu, Hande & Kilic, Yunus & Bugan, Mehmet Fatih & Dibooglu, Sel, 2024. "Interconnectedness and systemic risk: Evidence from global stock markets," Research in International Business and Finance, Elsevier, vol. 69(C).
  10. Hu, Lei & Song, Min & Wen, Fenghua & Zhang, Yun & Zhao, Yunning, 2025. "The impact of climate attention on risk spillover effect in energy futures markets," Energy Economics, Elsevier, vol. 141(C).
  11. Maghyereh, Aktham & Ziadat, Salem Adel & Al Rababa'a, Abdel Razzaq A., 2024. "Exploring the dynamic connections between oil price shocks and bond yields in developed nations: A TVP-SVAR-SV approach," Energy, Elsevier, vol. 306(C).
  12. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Quantile spillovers and connectedness analysis between oil and African stock markets," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 60-83.
  13. Feng, Huiqun & Zhang, Jun & Guo, Na, 2023. "Time-varying linkages between energy and stock markets: Dynamic spillovers and driving factors," International Review of Financial Analysis, Elsevier, vol. 89(C).
  14. Lucey, Brian & Ren, Boru, 2023. "Time-varying tail risk connectedness among sustainability-related products and fossil energy investments," Energy Economics, Elsevier, vol. 126(C).
  15. 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).
  16. Yang, Xin & Wang, Xuya & Cao, Jie & Zhao, Lili & Huang, Chuangxia, 2024. "Cross-regional connectedness of financial market: Measurement and determinants," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  17. Starkey, Christopher Michael & Tsafack, Georges, 2023. "Measuring financial contagion: Dealing with the volatility Bias in the correlation dynamics," International Review of Financial Analysis, Elsevier, vol. 90(C).
  18. 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).
  19. Ionuț Nica & Camelia Delcea & Nora Chiriță & Ștefan Ionescu, 2024. "Quantifying Impact, Uncovering Trends: A Comprehensive Bibliometric Analysis of Shadow Banking and Financial Contagion Dynamics," IJFS, MDPI, vol. 12(1), pages 1-35, March.
  20. 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).
  21. Dai, Zhifeng & Tang, Rui & Zhang, Xinhua, 2023. "Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets," Energy Economics, Elsevier, vol. 120(C).
  22. Yujia Jin & Ailian Zhang & Bai Liu, 2023. "Risk spillover networks in financial markets: Evidence from emerging markets," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 44(6), pages 3086-3107, September.
  23. Jonas Krampe & Luca Margaritella, 2024. "Decomposing Global Bank Network Connectedness: What is Common, Idiosyncratic and When?," Papers 2402.02482, arXiv.org, revised Mar 2025.
  24. Dong, Xiyong & Yoon, Seong-Min, 2023. "Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets," Energy Economics, Elsevier, vol. 121(C).
  25. Cevik, Emrah Ismail & Kenc, Turalay & Goodell, John W. & Gunay, Samet, 2025. "Enhancing banking systemic risk indicators by incorporating volatility clustering, variance risk premiums, and considering distance-to-capital," International Review of Economics & Finance, Elsevier, vol. 97(C).
  26. Abdou, Hussein A. & Elamer, Ahmed A. & Abedin, Mohammad Zoynul & Ibrahim, Bassam A., 2024. "The impact of oil and global markets on Saudi stock market predictability: A machine learning approach," Energy Economics, Elsevier, vol. 132(C).
  27. 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).
  28. Xue, Jianhao & Dai, Xingyu & Zhang, Dongna & Nghiem, Xuan-Hoa & Wang, Qunwei, 2024. "Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios," International Review of Economics & Finance, Elsevier, vol. 96(PC).
  29. Mensi, Walid & Rehman, Mobeen Ur & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2023. "Frequency dependence between oil futures and international stock markets and the role of gold, bonds, and uncertainty indices: Evidence from partial and multivariate wavelet approaches," Resources Policy, Elsevier, vol. 80(C).
  30. Jin, Xiu & Liu, Yueli & Yu, Jinming & Huang, Weiqiang, 2023. "COVID-19 and extreme risk spillovers between oil and BRICS stock markets: A multiscale perspective," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
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