This paper investigates the asymmetric, time, and frequency-based volatility spillovers in global IT industries. To this end, we introduce a new Wavelet-Time Varying Parameter-VAR (W-TVP-VAR) approach to compute connectedness ...

Purpose This study examines the risk spillovers between Indonesian sectorial stocks (Energy, Basic Materials, Industrials, Consumer Cyclicals, Consumer Non-cyclical and Financials), the aggregate index (IDX) and two ...

This study reviews initial coin offerings (ICOs) based on 80 empirical studies from 2018 to 2022. We apply a blend of bibliometric and content analysis to consolidate ICOs’ prior findings, track the evolutionary impact, ...

This study investigates the multidimensional connectedness between various Fourth Industrial Revolution assets and global commodities to analyze their role in portfolio diversification. Using dynamic conditional ...

The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among ...