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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2023
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| Materias: | |
| 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 |