markets during the period of January 1999 to April 2021, applying both the connectedness framework and the Time …-Varying Parameter Vector Autoregressive connectedness approach. Our results suggest that 15.67% of the total variance of forecast errors … variation was due to idiosyncratic shocks. Nevertheless, we find that stress connectedness varies over time, with a surge during …

The connectedness dynamics between large-, mid-, and small-cap stocks is investigated using the forecasted error … spillover (i.e., connectedness) is elevated between large-, mid-, and small-cap stocks during the study period. This high level … connectedness, a similar pattern of bilateral connectedness is observed between either of the two indices, thus providing a similar …

In the present paper, we investigate connectedness within cryptocurrency markets as well as across the Bitcoin index … employed to measure connectedness. Results show no significant spillover effects between the nascent market of cryptocurrencies … danger to financial system stability. Concerning the connectedness within the cryptocurrency markets, we report a time …

This paper analyzes the connectedness among bitcoin, gold, and crude oil between 3 January 2017 and 31 December 2019 … it is mined like crude oil, namely, a commodity. These similarities can be investigated by analyzing the connectedness … among these financial assets. The connectedness results derived from both total connectedness and frequency connectedness …

markets. This study attempts to investigate the impacts of the Russian invasion crisis on the dynamic connectedness among five …-VAR) method, which reflects the way spillovers are shaped by various crises periods, and we found extreme connectedness among all …