This study investigates the impact of geopolitical risk on firm-level environmental, social, and
governance (ESG) performance. Using a news-based indicator of geopolitical risk across 41 …

This paper studies how climate risks spill over to European electricity markets across time
and frequency domains using the connectedness network approach. By introducing three …

This study explores the impact of Russia-Ukraine war and sanctions news sentiments
(RUWESsent) on global equity markets using three robust estimators. The quantile-on …

We investigate the interconnectedness between the US electricity market and
cryptocurrency, NFTs, and DeFi markets, while considering the conditioning effect of …

We apply the qunatile vector autoregression (QVAR) connectedness and frequency
causality methods to investigate tail risk contagion, quantile dependency, and causality …

As the interconnection of the European electricity markets and integration of renewables
progresses, there is little known about interconnectedness across them at times of market …

This paper examines the returns and volatilities connectedness between the electricity and
AI-based markets using the Time-Varying Parameter Vector Autoregression (TVP-VAR) …

The tail risks can exhibit different and important features than average measures of risk in
interconnected electricity markets. This paper examines the interconnectedness of tail risks …

This research provides an extensive characterization of the contagion between electricity,
energy commodities, financial assets and economic indicators across several maturities …

This paper provides a novel framework based on extreme value theory, ie the
autoregressive conditional Fréchet–time-varying parameters–vector autoregression (AcF …