The existing studies have offered evidence that the widespread of COVID-19 is associated with an increase in global foreign exchange volatility. Can vaccination efforts help to mitigate these adverse effects? Our paper turns to this new question by investigating the impact of vaccinations on the...

This paper proposes a convenient approach to measure the time-varying volatility connectedness indexes by developing the connectedness measures within a multivariate Heterogeneous Autoregressive model with measurement errors (VHAR-Q). We utilize this framework to examine the dynamic volatility...