Given inflation’s crucial role as a key economic barometer, our paper investigates the dynamic inflation spillover between the U.S. and the nine emerging and growth-leading economies (EAGLEs) between 1991M1 and 2020M2. Employing the recently developed time-varying parameter vector...

Despite the crucial role of thermal coal in generating the electricity used for cryptocurrency mining, the volatility linkage between the cryptocurrency and thermal coal markets is yet to be studied. We investigate the time-varying volatility connectedness between the two markets using their...

This paper investigates the relationship between oil and airline stock returns under different time frequencies. First, we propose an Autoregressive moving average model with mixed frequency exogenous variable to analyse the different impacts of oil on airline stock returns on daily, weekly, and...

Given that natural gas is a vital input for the U.S. utility sector, this study empirically investigates the return connectedness between the natural gas and utility stocks in the U.S. market. Using the quantile connectedness approach, we show that the nexus between natural gas and utility...

This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the...

This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the...