This paper studies the dynamic change of volatility spillovers between several major international financial markets during the global COVID-19 pandemic using Diebold and Yilmaz's connectedness index. We found that the total volatility spillover in this March reached its highest level of recent...

Based on GJR-GARCH-CVaR and Vine copula model, we explore the interdependence of Chinese art with other assets and portfolio performance containing stocks, bonds, forex, and art. The results show that D-vine copulas can better portray the multi-asset asymmetric dependence structure and art can...