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...

This paper examines the dynamic connectedness among the implied volatilities of oil prices (OVX) and fourteen other assets, which can be grouped into five different assets classes (i.e., energy commodities, stock markets, precious metals, exchange rates and bond markets). To do so we estimate a...