Utilizing cross-correlation-based Planar Maximally Filtered Graph, and conditional Value-at-Risk-based extreme risk spillover network approaches, we analyze the structure and dynamics of price contagion and risk transmission between different commodity groups in the global commodity futures...

We compare the performance of safe-haven assets during the Global Financial Crisis (GFC) and COVID-19 pandemic. First, regarding the GFC, we find, intermediate (weak) safe haven evidence for US dollar, Swiss franc and T-bonds (Gold, Silver and T-bills). Second, with regard to COVID, we find gold...

This paper is the first study to examine the financial contagion from the U.S., Japanese and Chinese markets to Asian markets during the Global Financial Crisis (GFC) and Covid-19 Pandemic Crisis. We employ the DCC-EGARCH methodology and daily data of stock returns from 2005 to 2021 to estimate...