This research examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. Applying a DCC-GARCH-base volatility connectedness model and the cross-wavelet transform, we examine the transmission of risk patterns in these...

The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the CBOE Volatility Index (VIX) and the major agricultural future markets before and during the COVID-19 outbreak. The VAR-BEKK-GARCH method and wald test were used, as was the wavelet transform....

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross-wavelet transform to examine the transmission of risk patterns...

This paper examines the role of expectations in explaining the dynamics of inflation, interest rates and other key financial variables in Indonesia using VAR and error correction analyses. It is found that deposit interest rates, exchange rates and oil prices have significant impact on the...

This paper examines the role of expectations in explaining the dynamics of inflation, interest rates and other key financial variables in Indonesia using VAR and error correction analyses. It is found that deposit interest rates, exchange rates and oil prices have significant impact on the...