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“…Despite the fact that a wider horizon has a smoothing effect on the results, they manifest a high degree of similarity to the baseline specification. We notice that the overall spillover index is generally higher in turbulent times, which is in line with the findings of studies such as: Andrada-Félix et al [ 21 ], Chau and Deesomsak [ 23 ], Chatziantoniou et al [ 32 ], Liu and Hamori [ 33 ], Barunik et al [ 51 ], Demirer et al [ 52 ], and Marfatia et al [ 53 ].…”
Section: Resultssupporting
“…Ji et al [ 20 ] develop an entropy-based network to investigate information connectedness in housing markets. Several works rely on the framework of Diebold-Yilmaz [ 11 ] to test information transmission between pairs of countries—for example Ji et al [ 20 ] Andrada-Félix et al [ 21 ], Alter and Beyer [ 22 ], Chau and Deesomsak [ 23 ]. Our approach is somewhat similar in respect of using the Diebold-Yilmaz spillover index.…”
Section: Literature Reviewmentioning
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“…The underlying idea is related to the econometric notion of a variance decomposition, in which the forecast‐error variance of a variable i is decomposed into parts attributed to the various variables in the system (see, e.g., Booth, Chowdhury, Martikainen, & Tse, ). This connectedness measure was recently used in Andrada‐Félix, Fernandez‐Perez, and Sosvilla‐Rivero () to examine the interconnection between five implied volatility indices, and in Corbet, Meegan, Larkin, Lucey, and Yarovaya () to explore the relations between cryptocurrencies and other financial assets. Of particular interest in this paper, we investigate the causal relations between the stock market and commodities in China.…”
Section: Connectedness Among Commodities and The Local Stock Marketmentioning
“…We extend prior work by identifying dynamic volatility connectedness across major asset markets and underlying causes of their time variation. Our motivation follows from recent literature on cross-market relationship (e.g., Fleming, Kirby, & Ostdiek, 1998;Cappiello, Engle, & Sheppard, 2006;Diebold & Yilmaz, 2012;Baruník, Kočenda, & Vácha, 2016;Yang & Zhou, 2016;Andrada-Félix, Fernandez-Perez, & Sosvilla-Rivero, 2018;Zaremba, Kambouris, & Karathanasopoulos, 2019) and the underlying economic and financial conditions (Hartmann, Straetmans, & De Vries, 2004;Connolly Stivers, & Sun, 2005;Büyükşahin & Robe, 2014;Chen, 2018).…”
Section: Introductionmentioning