An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis

We employ a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to study interlinkages between four markets, namely the crude oil, gold, stock, and cryptocurrency markets, by characterizing the connectedness of these four markets, from...

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Detalles Bibliográficos
Autores principales: Ha, Le Thanh, Nham, Nguyen Thi Hong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9334009/
https://www.ncbi.nlm.nih.gov/pubmed/35919892
http://dx.doi.org/10.1016/j.techfore.2022.121909

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9334009/
https://www.ncbi.nlm.nih.gov/pubmed/35919892
http://dx.doi.org/10.1016/j.techfore.2022.121909

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