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...

Crude oil is prone to large upward price shocks, creating challenges for personal and corporate budgeting. In this paper, we systematically assess a range of possible shock havens against large oil price shocks. Empirical tests uncover a rich set of assets which act both as hedges and shock...

This paper applies a TVP-VAR model to explore dynamic connectedness between West Texas Intermediate crude oil and other US energy prices, stock prices and exchange rate markets during the April 2020 supply shock leading to negative WTI crude oil prices. This period, while coinciding with the...