This paper proposes a novel quantile vector autoregressive extended joint connectedness framework to examine realized volatilities spillovers between oil and precious metals commodities using daily data from May 1st, 2006 until June 18th, 2021. Our findings suggest that crude oil is the main net...

This study examines the nexus between precious metals (gold and silver) and oil (crude oil and heating oil) realized volatilities introducing a novel quantile extended joint connectedness framework combining quantile vector autoregression (White et al., 2015) with the extended joint...

In the context of the great turmoil in the financial markets caused by the COVID-19 pandemic, the predictability of daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using heterogeneous autoregressive realised variance (HAR-RV) models....

This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest that...