Spillovers in higher moments and jumps across US stock and strategic commodity markets

Revisiting the financial market interdependence during COVID-19 times: a study of green bonds, cryptocurrency, commodities and other financial markets

“…, 2021; Bouri et al. , 2021a; b), and highlight the diversification benefits of green bonds due to their low or negative correlation with stocks and commodities. Unconditional correlation values of Green Bond with financial assets under the study except for gold (although r = 0.441 is also on the milder side) suggest green bonds can provide shelter to the investors in times of price oscillation in the rest of the markets.…”

COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets

“…The major events (COVID-19, oil crisis, and financial crises) intensify the asymmetric spillovers and the hedging strategy. Bouri et al (2021) 5-min data from April 2006 to April 2019 S$P 500 index, gold, and oil Time-varying parameter vector autoregression (TVP-VAR) model and Spillover in high moments (jumps, kurtosis, realized volatility, and skewness) Realized volatility spillovers are relatively stronger than spillovers in skewness, kurtosis and jumps. The US stock index is the main net transmitter of realized volatility and net receiver of realized skewness and jumps spillovers.…”

Analysis of connectivity between the world’s banking markets: The COVID-19 global pandemic shock

“…Several authors employ other econometric models such as Antonakakis et al (2020) which defends the use of a Time-Varying Parameter Var (TVP-VAR)to estimate connectedness and spillovers and perform an empirical exercise using exchange rates. Bouri, Lei, Jalkh, Xu, and Zhang (2021) presents evidence of spillovers of realized higher moments and jumps among U.S. stock, crude oil, and gold. The authors also employ a time-varying parameter vector autoregressive (TVP-VAR) spillover framework.…”