Table 2 Survey of the literature on the dynamic linkages of stock-commodities using TVP-VAR connectedness and multivariate GARCH family models

Hanif et al. (2023)

2020–2022

Intraday

EUROSTOXX50 FTSE100

NIKKEI225 etc

Bitcoin; Brent crude oil;gold

TVP-VAR

Frequency spillover

Wang et al. (2023a)

2008–2022

Daily

China's electricity sector

Crude oil and gold

TVP VAR

DCC-GARCH

Dai and Zhu (2022)

2010–2021

Daily

China's sectoral stock indices

WTI oil, natural gas

TVP-VAR;

DCC-GARCH

Wen et al. (2021)

2009–2020

Daily

Shanghai composite index

Precious metals, nonferrous metals, energy index, fuel oil chemical, grain, etc

TVP-VAR

DCC-GARCH

Wen and Wang (2021)

1960–2020

Monthly

US stock index

Energy, agriculture, food, raw materials

Metals and minerals

Precious metals

TVP-VAR

DCC-GARCH

Adekoya et al. (2022)

2013–2021

Daily

Nine Islamic sectoral stocks

Brent crude oil, gold

Asymmetric TVP-VAR

Ha et al. (2022)

2018–2021

Daily

S&P 500

Crude oil, gold, cryptocurrency

TVP-VAR

Bouri et al. (2021)

2006–2019

Intraday

S&P 500

Gold, oil

TVP-VAR

Adekoya and Oliyide (2021)

2020

Intraday

S&P 500

Eexchange rate, gold

Crude oil, bitcoin

TVP-VAR;

Granger causality

Zhao et al. (2022)

2014–2021

Daily

CSI300

Wind commodity index, Carbon market

TVP-VAR

Mensi et al. (2022)

2018–2020

Intraday

S&P 500

Gold, Brent oil

DCC-FIAPARCH

Dong et al. (2021)

2000–2020

Daily

Korean, Taiwan, Hongkong, Singapore

Gold, U.S. dollar

DCC-FIAPARCH

Guesmi et al. (2020)

1998–2018

Daily

17 OECD stock indices etc

Crude oil

cDCC-FIAPARCH

Mensi et al. (2021)

2007–2020

Weekly

ASEAN stock indices

Precious metals futures (gold, palladium, platinum, and silver), Brent oil

DCC-FIAPARCH

Lin et al. (2021)

2002–2019

Daily

Shanghai stock index; S&P 500; European 600

Global crude oil market

(WTI, Brent, and Dubai)

cDCC-FIAPARCH