Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach-Reference-Cited by-同舟云学术

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

Published:2023-05 Issue: Volume:53 Page:103634
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Huang Jionghao,Chen Baifan^ORCID,Xu Yushi,Xia Xiaohua

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Finance

Reference35 articles.

1. How COVID-19 drives connectedness among commodity and financial markets: evidence from TVP-VAR and causality-in-quantiles techniques;Adekoya;Resour. Policy,2021

2. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions;Antonakakis;J. Risk Financ. Manag.,2020

3. The dynamic volatility connectedness structure of energy futures and global financial markets: evidence from a novel time–frequency domain approach;Bagheri;Comput. Econ.,2022

4. Crude Oil futures contracts and commodity markets: new evidence from a TVP-VAR extended joint connectedness approach;Balcilar;Resour. Policy,2021

5. Spillover network of commodity uncertainties;Balli;Energy Econ.,2019

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