Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach

This paper investigates the dynamic volatility spillover among energy commodities and financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency connectedness approach and the QMLE-based realized volatility data. Our findings indicate that the volatility spillover is ma...

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Detalles Bibliográficos
Autores principales: Huang, Jionghao, Chen, Baifan, Xu, Yushi, Xia, Xiaohua
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9827675/
https://www.ncbi.nlm.nih.gov/pubmed/36643778
http://dx.doi.org/10.1016/j.frl.2023.103634

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9827675/
https://www.ncbi.nlm.nih.gov/pubmed/36643778
http://dx.doi.org/10.1016/j.frl.2023.103634

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