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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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Principais autores: Oguzhan Ozcelebi, Jose Pérez-Montiel, Sang Hoon Kang
Format: Artigo
Sprog:Inglês
Udgivet: SpringerOpen 2025-01-01
Serier:Financial Innovation
Fag:
Oil shocks
Sector stock returns
Quantile connectedness
Quantile Granger causality
Quantile autoregressive model
Online adgang:https://doi.org/10.1186/s40854-025-00755-2
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