In this study we examine the role of the Euro on currency co-movements and contagion considering six major currencies (i.e., EUR(DM), JPY, GBP, CHF, AUD, as well as, CAD) and their corresponding USD exchange rates. The period of study extends from January 2, 1975 to April 8, 2016. The selected...

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...

In this study, we enhance the dynamic connectedness measures originally introduced by Diebold and Yılmaz (2012, 2014) with a time-varying parameter vector autoregressive model (TVP-VAR) which predicates upon a time-varying variance-covariance structure. This framework allows to capture possible...

In this study, we examine the propagation of return-spillovers within a network comprising various Islamic sectoral stocks and the price of Brent crude oil. To achieve that, we extend the work of Antonakakis et al. (2020a), by introducing measures of asymmetric dynamic connectedness based on a...

Socially responsible investment (SRI) practices are increasingly widely adopted, and moving into mainstream investment activity. Among the suite of instruments available to responsible investors is a fixed-income offering known as a green bond - a specialized bond in which the use of proceeds...

This study investigates the dynamic transmission mechanism between COVID-19 news sentiment (Google Trends Index), and S&P100, crude oil and gold volatility indices using the recently developed time-varying parameter vector autoregressive (TVP-VAR) based extended joint connectedness approach...