We revisit the twin deficits hypothesis by examining the long-run cointegrating relationship between the US budget and trade deficits across various quantiles using a unique dataset for the period 1791–2013. The main results suggest the existence of nonlinearities and structural breaks in the...

Building on the increased interest in the spillover effects among oil prices and other financial assets, this paper examines dynamic connectedness and contagion effects of their implied volatility shocks. We then proceed to the examination of the optimal hedging strategies and optimal portfolio...

This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a...