Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically,...

Against the backdrop of the Covid-19 pandemic, this study explores the hedging and safe-haven potential of green bonds for conventional equity, fixed income, commodity, and forex investments. We use the cross-quantilogram approach that provides a better understanding of the dynamic relationship...