This research examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. Applying a DCC-GARCH-base volatility connectedness model and the cross-wavelet transform, we examine the transmission of risk patterns in these...

The purpose of this paper is to examine the volatility spillover and lead-lag relationship between the CBOE Volatility Index (VIX) and the major agricultural future markets before and during the COVID-19 outbreak. The VAR-BEKK-GARCH method and wald test were used, as was the wavelet transform....

This study examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. This paper applies a DCC-GARCH-based volatility connectedness model and the cross-wavelet transform to examine the transmission of risk patterns...