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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 ...
Gustavo María Barboza Martignone +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]
Financial Innovation, 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 ...
Manel Youssef +2 more
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Journal of Theoretical and Applied Electronic Commerce ResearchThis study examines the dynamic interconnectedness between digital and traditional assets, with an emphasis on fiat currencies (such as JPY/USD and CHF/USD), cryptocurrencies (such as Bitcoin), and digital assets backed by gold (such as Tether Gold and ...
Sahar Loukil +3 more
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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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Dynamics of Connectedness in Clean Energy Stocks [PDF]
Energies, 2020 This paper examines the dynamics of connectedness among the realized volatility indices of 16 clean energy stocks belonging to the SPGCE and the implied volatility indices of two important stock markets—the S&P 500 and the STOXX50—and two commodities markets—the crude oil and gold markets.
Fernanda Fuentes, Rodrigo Herrera
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On the connectedness of homomorphisms in topological dynamics [PDF]
Transactions of the American Mathematical Society, 1976 Let ( X, T ) be a minimal transformation group with compact Hausdorff phase space. We show that if ϕ
McMahon, D., Wu, T. S.
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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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Measuring the Dynamics of Global Business Cycle Connectedness [PDF]
SSRN Electronic Journal, 2013 AbstractUsing a connectedness measurement technology fundamentally grounded in modern network theory, the chapter measures real output connectedness for a set of six developed countries, from 1962 to 2010. It shows that global connectedness is sizable and time-varying over the business cycle, and it studies the nature of the time variation relative to ...
Francis X. Diebold, Kamil Yilmaz
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The dynamic connectedness of UK regional property returns [PDF]
Urban Studies, 2018 In this study, we examine the network topology of UK regional property returns over the period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014). Overall, our findings indicate that the transmission of inter-regional property returns shocks is an important source of regional property return fluctuations. What
Antonakakis, Nikos +3 more
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