Return Connectedness and Risk Spillovers between Green Bonds, Conventional Bonds, Stocks, Commodities, and Currency Markets: A Multiscale Quantile Analysis

This dataset accompanies the article "Return Connectedness and Risk Spillovers between Green Bonds, Conventional Bonds, Stocks, Commodities, and Currency Markets: A Multiscale Quantile Analysis." It contains daily data for the S&P Green Bond Index (SPGB), Bloomberg Barclays Global Treasury Index (BBGT), Bloomberg Global Aggregate Corporate Index (BGAC), MSCI World Index (MSCI), S&P GSCI Commodity Index (SPGS), Brent crude oil futures (Oil), gold futures (GOLD), U.S. Dollar Index (USDX), and Bitcoin (BTC), covering the period from 14 October 2014 to 31 January 2025. The data were obtained from Bloomberg and Investing.com and are used to examine return connectedness and multiscale tail risk spillovers across major financial markets. The package also includes the replication files Main_Text_Results.R, Appendix_Results.R, and CoVaR_Functions.R, which reproduce the empirical results reported in the manuscript.