This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and uncertainties in the gold, oil, and equity markets. Using the cross-quantilogram method and quantile connectedness approach, we identify cross-quantile...

We analyze the connectedness between major cryptocurrencies and nonfungible tokens (NFTs) for diferent quantiles employing a time-varying parameter vector autoregression approach. We fnd that lower and upper quantile spillovers are higher than those at the median, meaning that connectedness...

The aim of this study is to examine the daily return spillover among 18 cryptocurrencies under low and high volatility regimes, while considering three pricing factors and the effect of the COVID-19 outbreak. To do so, we apply a Markov regime-switching (MS) vector autoregressive with exogenous...

In the context of the rapidly growing demand for green investments and the need to combat climate change, this study contributes to the emerging literature on green investments by exploring the time-frequency connectedness between green bonds (GBs) and green equities. Specifically, we examine...

This study uses the dynamic conditional correlation to investigate how technology subsector stocks interact with fnancial assets in the face of economic and fnancial uncertainty. Our results suggest that structural breaks have diverse efects on fnancial asset connectedness and that the level of...

This study examines the connectedness in high-order moments between cryptocurrency, major stock (U.S., U.K., Eurozone, and Japan), and commodity (gold and oil) markets. Using intraday data from 2020 to 2022 and the time and frequency connectedness models of Diebold and Yilmaz (Int J Forecast...

We provide empirical evidence supporting the economic reasoning behind the impossibility of diversifcation benefts and the hedge attributes of cryptocurrencies remaining in force during the downside trends observed in bearish fnancial markets. We employ a spillover connectedness model driven by...

This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that...

This paper examines the high frequency multiscale relationships and nonlinear multiscale causality between Bitcoin, Ethereum, Monero, Dash, Ripple, and Litecoin. We apply nonlinear Granger causality and rolling window wavelet correlation (RWCC) to 15 min-data. Empirical RWCC results indicate...

This study addresses whether gold exhibits the function of a hedge or safe haven as often referred to in academia. It contributes to the existing literature by (i) revisiting this question for the principal stock markets in the Middle East and North Africa (MENA) region and (ii) using the...