Umar, ZaghumPolat, OnurChoi, Sun-YongTeplova, Tamara2025-05-092025-05-0920221544-61231544-6131https://doi.org/10.1016/j.frl.2022.102976https://hdl.handle.net/20.500.12416/9527Umar, Zaghum/0000-0002-0425-2665; Polat, Onur/0000-0002-7170-4254; Choi, Sun-Yong/0000-0001-7234-7183We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short-and long-term frequencies, respectively.eninfo:eu-repo/semantics/closedAccessGeopolitical RiskRussian-Ukrainian ConflictDynamic ConnectednessTime-Varying Parameter Vector AutoregressionArticle10.1016/j.frl.2022.1029762-s2.0-85130792775