COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs

Did Covid19 induce market turmoil impact the intraday volatility spillovers between energy and other ETFs?. To examine this, we first estimate the realized volatility of ETFs using the 5-min high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we uti...

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Detalles Bibliográficos
Autores principales: Naeem, Muhammad Abubakr, Karim, Sitara, Yarovaya, Larisa, Lucey, Brian M.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10159587/
https://www.ncbi.nlm.nih.gov/pubmed/37163169
http://dx.doi.org/10.1016/j.eneco.2023.106677

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10159587/
https://www.ncbi.nlm.nih.gov/pubmed/37163169
http://dx.doi.org/10.1016/j.eneco.2023.106677

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