In recent years, the tendency of the number of financial institutions to include
cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital …

This study analyzes the dynamic connectedness between the ESG stock index, the
renewable energy stock index, the green bond stock index, the sustainability stock index …

While much research uses multivariate GARCH to model volatility dynamics and risk
measures, one particular type of multivariate GARCH model, GO-GARCH, has been …

In this paper, we analyse co-movements and correlations between Bitcoin and thirty-one of
the most-tradable crypto assets using high-frequency data for the period from January 2019 …

Using a bivariate Diagonal BEKK model, this paper investigates the volatility dynamics of the
two major cryptocurrencies, namely Bitcoin and Ether. We find evidence of …

This study examines the time-varying correlations between oil prices shocks of different
types (supply-side, aggregate demand and oil-market specific demand as per Kilian (2009) …

This article exploits a new spillover directional measure proposed by Diebold and Yilmaz
(2009, 2012) to investigate the dynamic spillover of return and volatility between oil and …

Investment in Green energy is becoming a popular alternative asset class for investors,
primarily due to its environment-friendly attributes. However, there is a dire need for …

By employing an asymmetric Diagonal BEKK model, this paper examines volatility dynamics
of five major cryptocurrencies, namely Bitcoin, Ether, Ripple, Litecoin, and Stellar Lumen. It …

This paper contributes to the current literature by adopting time varying conditional
correlation and asset pricing models to discover how the dynamics of international oil prices …