This paper reviews the status quo of the empirical literature about the elasticity of
intertemporal substitution (EIS) in consumption. Aiming to answer the question what the true …

We propose a new framework for measuring connectedness among financial variables that
arise due to heterogeneous frequency responses to shocks. To estimate connectedness in …

We examine the frequency dynamics of volatility spillovers between crude oil and China's
stock markets in a spectral representation framework of generalized forecast error variance …

This paper examines the frequency of spillovers between crude oil futures and the Middle
East and North Africa (MENA) stock markets. We use the methodologies proposed by …

This study examines the time-varying frequency spillovers and connectedness between US
sector stock markets and both crude oil and gold and their implications on portfolio …

We construct an index of long-term expected earnings growth for S&P 500 firms and show
that it has remarkable power to jointly predict future errors in expectations and stock returns …

The goal of this paper is twofold. First, we study dynamic volatility connectedness between
oil and natural gas over the period 1994 to 2018. Second, we examine the frequency …

We quantify investors' preferences over the dynamics of shocks by deriving frequency-
specific risk prices that capture the price of risk of consumption fluctuations at each …

In this study, we analyze the relationship between the price of carbon-intensive fuel and the
stock prices of renewable energy companies, incorporating the price of carbon in the …

In this study, we examine the asymmetric short-and long-run spillover among commodities
using realized variances and realized semivariances calculated through 5-min trading data …