Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets

The predictive power of stock market’s expectations volatility: A financial synchronization phenomenon

“…Similar results document Kang et. al [ 27 ] when analyzing the dynamic pattern of spillover and connectedness between a broad set of financial assets, find that there are spillovers between VIX and VSTOXX and that the latter volatility index acts as a net transmitter of shocks, especially during periods of turmoil in European financial markets.…”

Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies

“…This method has been extensively used in literature to investigate volatility spillovers across markets, for example, Zhang (2017) study volatility connectedness between oil markets and financial markets, Antonakakis et al (2018) analyzed volatility spillover between oil prices and stock prices of oil and gas firms, Corbet et al (2018) test the time-varying relationship between cryptocurrencies and financial Assets, Kang et al (2019) examined the pattern of spillover and connectedness between a broad set of financial assets (equities, commodities, bonds and VIX).…”

The impact of COVID-19 pandemic on the volatility connectedness network of global stock market

“… 1 This method has been used to estimate the global network structure of sovereign credit risk ( Bostanci and Yilmaz, 2020 ), to investigate the changes of Asian financial markets in the global financial network ( Chowdhury et al, 2019 ), to discover the propagation path of asymmetric fluctuations in the foreign exchange market ( Baruník et al, 2017 ), and to examine volatility spillovers and connectednesss between major stock markets and other financial assets ( Kang et al, 2019 ). …”