Asymmetric Risk Connectedness between Crude Oil and Agricultural Commodity Futures in China before and after the COVID-19 Pandemic: Evidence from High-Frequency Data

Based on the spillover index and an improved spillover asymmetric measure method, this paper studies the volatility spillover and its asymmetric effect between crude oil and agricultural commodity futures in pre- and post-outbreak of COVID-19. We find that the total volatility spillover is higher wi...

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Hlavní autoři:	Deyuan Zhang, Wensen She, Fang Qu, Chunyan He
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	MDPI AG 2023-08-01
Edice:	Energies
Témata:	oil price agricultural commodity future COVID-19 realized volatility asymmetric volatility spillover
On-line přístup:	https://www.mdpi.com/1996-1073/16/16/5898
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