We investigate the volatility connectedness between US green bonds and several major traditional financial market volatility indices by applying a novel TVP-VAR frequency connectedness methodology. This paper aims to explore the specific role that the US green bond market possesses during three...

Utilising Chinese-developed data based on long-standing influenza indices and the more recently-developed coronavirus and face-mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets during the outbreak of the COVID-19 pandemic upon a broad...

We investigate the volatility connectedness between US green bonds and several major traditional financial market volatility indices through the application of a novel TVP-VAR frequency connectedness. This paper aims to explore the specific role that the US green bond market possesses during...

This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global common volatility (COVOL) [Engle and Campos-Martins, 2023] and four major asset price implied volatility measures using a TVP-VAR framework. Considering a number of major...