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