This paper investigates hydrogen's dynamic connectedness, risk, and portfolio optimization compared to other financial assets (equities, renewable energy, and commodities) and during the significant economic disruptions of the COVID-19 pandemic and the Russia-Ukraine War. We use Dynamic Conditional Correlation (DCC)-GARCH and Markov Regime Switching models to assess the evolving relationships between the hydrogen economy and other financial assets and focus on periods of heightened market volatility. Risk metrics tools Value-at-Risk, Conditional Value-at-Risk, and Delta CoVaR are applied to evaluate hydrogen's downside risks and systemic contributions to portfolios. Our findings suggest that while hydrogen offers potential for portfolio diversification, its risk profile fluctuates significantly under market stress, reflecting its early-stage status as a green asset. These results have important implications for policymakers and investors aiming to optimize portfolio performance and manage risk during periods of economic uncertainty, particularly in the context of the global energy transition.