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Leadership shift in the global soybean market: Dynamic connectedness approach (TVP-VAR). [PDF]
HeliyonThe price transmission in international soybean market has been extensively examined. However, recent econometric advancements have enabled the application of dynamic connectedness methodology as outlined by Antonakakis and Gabauer (2017) [1], which is ...
Barboza Martignone GM +3 more
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Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter? [PDF]
Financ Innov, 2021 This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by ...
Youssef M, Mokni K, Ajmi AN.
europepmc +2 more sources
Exploring the dynamic connectedness between commodities and African equities
Cogent Economics & Finance, 2023 Market participants, regulators, and practitioners might have disregarded the prospective integration of African markets and the integration of commodity markets with traditional markets.
Samuel Kwaku Agyei, Ahmed Bossman
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Energies, 2021 We investigated the connectedness of the returns and volatility of clean energy stock, technology stock, crude oil, natural gas, and investor sentiment based on the time-varying parameter vector autoregressive (TVP-VAR) connectedness approach.
Tiantian Liu, Shigeyuki Hamori
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Risk Connectedness among International Stock Markets: Fresh Findings from a Network Approach
Systems, 2023 In this study, we analyze the upside and downside risk connectedness among international stock markets. We characterize the connectedness among international stock returns using the Diebold and Yilmaz spillover index approach and compute the upside and ...
Ki-Hong Choi, Seong-Min Yoon
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Asymmetric volatility connectedness between cryptocurrencies and energy: Dynamics and determinants
Frontiers in Environmental Science, 2023 We explore the dynamics and determinants of volatility connectedness between cryptocurrencies and energy. We employed a block dynamic equicorrelation model and a group volatility connectedness measurement to measure the cross-equicorrelation and ...
Yang Wan +3 more
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Spillovers between Twitter Uncertainty Indexes and sector indexes: Evidence from the US
Borsa Istanbul Review, 2022 The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a ...
Rim El Khoury, Muneer M. Alshater
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Return and volatility transmission between oil price shocks and agricultural commodities.
PLoS ONE, 2021 This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid ...
Zaghum Umar +3 more
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Economies, 2023 The purpose of the research is to explore the dynamic multiscale linkage between economic policy uncertainty, equity market volatility, energy and sustainable cryptocurrencies during the COVID-19 period.
Inzamam Ul Haq +4 more
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Technology Spillovers among Innovation Agents from the Perspective of Network Connectedness
Mathematics, 2022 By constructing a technology spillover connectedness index and connectedness matrix, this paper studies the technology spillover connectedness among innovation agents in China from the perspective of network topology.
Cui Zhang, Xiongjin Feng, Yanzhen Wang
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