This paper provides a review of the development of the non‐fungible tokens (NFTs) market,
with a particular focus on its pricing determinants, its current applications, and its future …

COVID-19 has disrupted the Chinese economy and is spreading globally. The evolution of
the disease and its economic impacts are highly uncertain, making formulation of …

In this study, we first examine the dynamic dependence structure between green bonds
(GBs) and several global and sectoral clean energy (CE) markets by using several time …

We study systemic risk and dependence between oil and renewable energy markets using
copulas to characterize the dependence structure and to compute the conditional value-at …

Testing the hypothesis that international equity market correlation increases in volatile times
is a difficult exercise and misleading results have often been reported in the past because of …

This paper proposes a new generalized autoregressive conditionally heteroskedastic
(GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) …

Correlations between international equity market returns tend to increase in highly volatile
bear markets, which has led some to doubt the benefits of international diversification. This …

Correlations between US stocks and the aggregate US market are much greater for
downside moves, especially for extreme downside moves, than for upside moves. We …

We study the nature of sovereign credit risk using an extensive set of sovereign CDS data.
We find that the majority of sovereign credit risk can be linked to global factors. A single …

This article proposes a new approach to evaluate contagion in financial markets. Our
measure of contagion captures the coincidence of extreme return shocks across countries …