This paper examines the volatility spillovers and the time-frequency dependence between crude oil and stock sectors of US and China. We also rely on the effects of the COVID-19 pandemic on spillover effects and portfolio management. The results reveal evidence of strong positive co-movements...

This study investigates the time-varying and frequency spillovers between G7 stock markets and uncertainty indices of strategic commodities (oil and gold), as well as their implications for diversified portfolios. The results show, using Baruník and Křehlík’s (2018) method, significant...

This paper examines the direction and extent of the asymmetric volatility connectedness among international equity markets using 5-minute interval data from 16 stock markets. We analyze asymmetric volatility connectedness using realized volatility and identify the magnitude of the volatility...