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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2022
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| Materias: | |
| 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 |