This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-Square (R2) connectedness framework combining the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The...

In this paper, we estimate an asymmetric frequency TVP-VAR frequency connectedness model and further employ aggregated connectedness measures in order to identify whether cryptocurrencies drive investor sentiment. We find pronounced and time-varying interconnectedness within the cryptocurrency...

We investigate connectedness within a network of environmental indices and crude oil by utilizing state-of-the-art empirical methods. Focusing on the relevance of both mean and volatility dynamics, we find that mean dynamics persistently account for less than 5% of overall dynamics implying...

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...