“…Owing to the advantage in exploring dynamic correlations, the DCC‐MIDAS model has been widely used in many areas. In equity market, Virk and Javed (2017) apply the DCC‐MIDAS model to estimate dynamic pairwise correlations and analyse the integration patterns of seven leading European stock markets; Fang, Yu, and Li (2017) study how economic policy uncertainty influences the time‐varying long‐term correlation of U.S. stock and bond markets based on the DCC‐MIDAS model; Niţoi and Pochea (2019) apply it to study European Union stock market co‐movements and their determinants. In energy market, the DCC‐MIDAS model is used by Turhan, Sensoy, Ozturk, and Hacihasanoglu (2014) to analyse the time‐varying long‐run correlations between crude oil and the major asset classes, is applied by Conrad, Loch, and Rittler (2014) to investigate the macroeconomic determinants of the long‐term volatilities and correlations in crude oil and U.S. stock price returns, and is employed by Yang, Cai, and Hamori (2018) to explore the long‐term correlation between oil prices and exchange rates.…”