Green bonds and financial markets underline severe extreme dependence due to uncertain economic and financial circumstances. Time-varying optimal copula (TVOC) is a unique methodology that provides useful copula information under different time series, underscoring several regimes following...

Did Covid19 indiced market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this , we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR)....

This paper investigates the cross-quantile relationship between Bitcoin, a carbon-intensive cryptocurrency, and environmentally sustainable financial markets, such as green cryptocurrencies, carbon prices, green stocks, and green bonds. Using a cross-quantilogram approach, our results show that...

The present study aims to configure the extreme quantile dependence between oil shocks and BRIC markets from January 2, 1995 to July 27, 2021. Using the cross-quantilogram technique, the current study first decomposed oil shocks pertaining to demand and supply and analyzed their asymmetric...

The current study examines the risk transmission between green markets and commodities spanning 3 January 2011 to 20 June 2021. We use two novel methodologies of volatility transmission using dynamic conditional correlation (DCC-GARCH) and the other time-varying parameters vector autoregression...

This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R-Square (R2) connectedness framework combining the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The...

This study examines the contemporaneous return transmission mechanism across the G20 stock market returns employing a novel R2 connectedness framework which combines the network approach of Kenett et al. (2010, 2015) and the connectedness approach of Diebold and Yilmaz (2012, 2014). The employed...