Volatility and Return Connectedness Between the Oil Market and Eurozone Sectors During the Financial Crisis: A TVP-VAR Frequency Connectedness Approach

This paper analyzes the returns and volatility connectedness between oil prices and Eurozone sector returns during the global financial crisis. We employ the TVP-VAR frequency connectedness approach with daily data of Brent prices and 18 Eurozone supersector indices from 15 November 2014 to 24 Novem...

ver descrição completa

Detalhes bibliográficos

Principais autores:	Lamia Sebai, Yasmina Jaber, Foued Hamouda
Formato:	Artigo
Idioma:	Inglês
Publicado em:	Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2024-06-01
Colecção:	Scientific Annals of Economics and Business
Assuntos:	oil market eurozone super sectors tvp-var frequency connectedness volatility transmission volatility spillovers.
Acesso em linha:	https://saeb.feaa.uaic.ro/index.php/saeb/article/view/2274
Tags:	Adicionar Tag Sem tags, seja o primeiro a adicionar uma tag!