In this paper, we examine the time-varying tail risks transmission among the agricultural, precious metals, and energy commodities markets, and explore how climate change concerns affect this connectedness. Using the Conditional Autoregressive Value-at-Risk (CAViaR) model and the time-varying...

This paper investigates the effect of inflation and inflation uncertainty on equity returns for the data of 41 countries. A GARCH based measure of volatility is used to model inflation uncertainty. The empirical results shows that the effects are not statistically significant in most of the...