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1% ============================================================================2%   REFERENCES3% ============================================================================4\newpage5\phantomsection6\addcontentsline{toc}{section}{References}7\bibliographystyle{apalike}89\begin{thebibliography}{99}1011\bibitem[Andersen and Bollerslev(1998)]{Andersen1998}12Andersen, T.G. and Bollerslev, T. (1998).13Deutsche mark--dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer-run dependencies.14\textit{The Journal of Finance}, 53(1):219--265.1516\bibitem[Andersen et~al.(2001)]{Andersen2001}17Andersen, T.G., Bollerslev, T., Diebold, F.X., and Labys, P. (2001).18The distribution of realized exchange rate volatility.19\textit{Journal of the American Statistical Association}, 96(453):42--55.2021\bibitem[Andersen et~al.(2003)]{Andersen2003}22Andersen, T.G., Bollerslev, T., Diebold, F.X., and Labys, P. 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(2014).143Measuring the connectedness of the global economy.144\textit{International Journal of Forecasting}, 31(2):199--218.145146\bibitem[Habib and Stracca(2012)]{Habib2012}147Habib, M.M. and Stracca, L. (2012).148Getting beyond carry trade: What makes a safe haven currency?149\textit{Journal of International Economics}, 87(1):50--64.150151\bibitem[Hamao et~al.(1990)]{Hamao1990}152Hamao, Y., Masulis, R.W., and Ng, V. (1990).153Correlations in price changes and volatility across international stock markets.154\textit{Review of Financial Studies}, 3(2):281--307.155156\bibitem[Harris(1986)]{Harris1986}157Harris, L. (1986).158A transaction data study of weekly and intradaily patterns in stock returns.159\textit{Journal of Financial Economics}, 16(1):99--117.160161\bibitem[Kang et~al.(2017)]{Kang2017}162Kang, S.H., McIver, R., and Yoon, S.M. (2017).163Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets.164\textit{Energy Economics}, 62:19--32.165166\bibitem[King and Wadhwani(1990)]{King1990}167King, M.A. and Wadhwani, S. (1990).168Transmission of volatility between stock markets.169\textit{Review of Financial Studies}, 3(1):5--33.170171\bibitem[Koop et~al.(1996)]{Koop1996}172Koop, G., Pesaran, M.H., and Potter, S.M. (1996).173Impulse response analysis in nonlinear multivariate models.174\textit{Journal of Econometrics}, 74(1):119--147.175176\bibitem[Lin et~al.(1994)]{Lin1994}177Lin, W.L., Engle, R.F., and Ito, T. (1994).178Do bulls and bears move across borders? International transmission of stock returns and volatility.179\textit{Review of Financial Studies}, 7(3):507--538.180181\bibitem[Liu et~al.(2015)]{Liu2015}182Liu, L.Y., Patton, A.J., and Sheppard, K. (2015).183Does anything beat 5-minute RV? 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(2010).208Safe haven currencies.209\textit{Review of Finance}, 14(3):385--407.210211\bibitem[Reboredo(2013)]{Reboredo2013}212Reboredo, J.C. (2013).213Is gold a safe haven or a hedge for the US dollar? Implications for risk management.214\textit{Journal of Banking and Finance}, 37(8):2665--2676.215216\bibitem[Vivian and Wohar(2012)]{Vivian2012}217Vivian, A. and Wohar, M.E. (2012).218Commodity volatility breaks.219\textit{Journal of International Financial Markets, Institutions and Money}, 22(2):395--422.220221\bibitem[Wood et~al.(1985)]{Wood1985}222Wood, R.A., McInish, T.H., and Ord, J.K. (1985).223An investigation of transactions data for NYSE stocks.224\textit{The Journal of Finance}, 40(3):723--739.225226\bibitem[Yousaf et~al.(2022)]{Yousaf2022}227Yousaf, I., Pham, L., and Goodell, J.W. 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