Note(s): This table reports the Dynamic Conditional Correlation (DCC) between the SSE and SSE SUS, SSE ENV, SSE CG, BTC, WTI and GOLD used in our analysis during the whole period considered (January 2017–October 2020). Index definitions are provided in Table 1. Significance codes: *** express significance at the 0.99 level, ** at 0.95, * at 0.90