Utilising Chinese-developed data based on long-standing influenza indices and the more recently-developed coronavirus and face-mask indices, we set out to test for the presence of volatility spillovers from Chinese financial markets during the outbreak of the COVID-19 pandemic upon a broad...

This paper applies a TVP-VAR model to explore dynamic connectedness between West Texas Intermediate crude oil and other US energy prices, stock prices and exchange rate markets during the April 2020 supply shock leading to negative WTI crude oil prices. This period, while coinciding with the...

This study examines dynamic connectedness linkages between pairs and among different commodities, including precious metals, manufacturing metals, oil, natural gas, and Bitcoin, since the emergence of the cryptocurrency market. The Quantile-VAR methodology is utilised to identify causal...