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Volatility spillovers and contagion between energy sector and financial assets during COVID-19 crisis period
In this paper, we examine the relationship between the volatilities of the energy index, crude oil, gas prices, and financial assets (Gold, Bitcoin, and G7 stock indexes), especially during the coronavirus crisis. The study tests the presence of regime changes in the GARCH volatility dynamics of the...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer International Publishing
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8294314/ http://dx.doi.org/10.1007/s40822-021-00181-6 |