Extreme time–frequency connectedness between oil shocks and sectoral markets in the United States

Abstract This study assessed the connectedness between oil shocks and industry stock indexes in the United States (US). We consider the normal and extreme conditions across different frequency horizons, and the quantile time–frequency connectedness method is used to determine the tail risk contagion...

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Главные авторы:	Oguzhan Ozcelebi, Jose Pérez-Montiel, Sang Hoon Kang
Формат:	Artigo
Язык:	Inglês
Опубликовано:	SpringerOpen 2025-01-01
Серии:	Financial Innovation
Предметы:	Oil shocks Sector stock returns Quantile connectedness Quantile Granger causality Quantile autoregressive model
Online-ссылка:	https://doi.org/10.1186/s40854-025-00755-2
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