This study aims to provide a bibliometric literature review (BLR) on the applications of high-
frequency data in finance. To the best of our knowledge, this is the first BLR on this topic. It …

The spillover effect is a significant factor impacting the volatility of commodity prices. Unlike
earlier studies, this research uses the rolling window-based Quantile VAR (QVAR) model to …

This paper provides evidence on the dynamic spillover among geopolitical risk, climate risk,
and energy markets from an international perspective. Based on data from 13 countries …

With many studies highlighting the heterogeneous impact of the COVID-19 pandemic on
different commodity markets, this study provides evidence of quantile connectedness …

This study introduces a novel time-varying parameter vector autoregression (TVP-VAR)
based extended joint connectedness approach in order to characterize connectedness of 11 …

This paper investigates the higher-order moment risk connectedness between West Texas
Intermediate (WTI) oil futures, Brent oil futures, Chinese oil futures and commodity futures …

Inter-sectoral volatility linkages in the Chinese stock market are understudied, especially
asymmetries in realized volatility connectedness, accounting for the catastrophic event …

Using the quantile connectedness approach for the median, lower, and upper quantiles, we
examine the return and volatility connectedness between energy and BRIC markets from …

In this study, we present the evidence of dramatic changes in the structure and time-varying
patterns of volatility connectedness across equities and major commodities (oil, gold, silver …

This paper uses the TVP-VAR frequency connectedness approach to compare the volatility
connectedness induced by the COVID-19 pandemic and the Russia-Ukraine conflict. Both …