The purpose of the research is to explore the dynamic multiscale linkage between economic policy uncertainty, equity market volatility, energy and sustainable cryptocurrencies during the COVID-19 period. We use a multiscale TVP-VAR model considering level (EPUs and IDEMV) and returns series (cryptocurrencies) from 1 December 2019 to 30 September 2022. The data are then decomposed into six wavelet components, based on the wavelet MODWT method. The TVP-VAR connectedness approach is used to uncover the dynamic connectedness among EPUs, energy and sustainable cryptocurrency returns. Our findings reveal that CNEPU (USEPU) is the strongest (weakest) NET volatility transmitter. IDEMV is the most consistent volatility NET transmitter among all uncertainty indices across the original returns and wavelet scales (D1~D6). Energy cryptocurrencies, i.e., GRID, POW and SNC, are more likely to receive volatility spillovers than sustainable cryptocurrencies during a turbulent period (COVID-19). XLM (XNO) is least (most) affected by volatility spillover in system-wide connectedness, and XLM (ADA and MIOTA) showed a consistent (heterogeneous) non-recipient behavior across the six wavelet (D1~D6) scales and original return series. This study uncovers the dynamic connectedness across multiscale, which will support investors considering different investment horizons (D1~D6).

The high volatility and energy usage of rare earths have raised sustainable and financial concerns for environmentalists and sustainable investors. Therefore, this paper aims to investigate time-varying volatility transmission among rare earths elements, energy commodities, and sustainable financial markets. The sample covers global and major financial markets, i.e., US, China, and Australia. Using daily log returns from 2018 to 2022, the paper considers the dynamic Time Varying Parameter-Vector Autoregression (TVP-VAR) connectedness approach to gauge the time-varying features of volatility spillovers. The findings of total spillovers index reveal weak connectedness among markets during the sampled period. US and China rare earth markets were net volatility transmitters, whereas the Dow Jones Australia Sustainability Index (ASI), China Sustainability Index (CSI), Dow Jones Sustainability World Index (SWI), and MVIS Global Rare Earth Index (MVISGREI) were net recipients. Moreover, energy commodities i.e., WTI Crude Oil, Gasoline, and Natural Gas were net volatility transmitters, while ASI, CSI, and SWI were major volatility recipients. The weak financial contagion effect and connectedness across financial markets uncovers possible diversification opportunities. However, the US sustainable financial market is persistently not affected by these volatility spillovers. Policymakers need to establish strict regulations to protect sustainable financial markets in China and Australia.