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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...

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Principais autores: Lamia Sebai, Yasmina Jaber, Foued Hamouda
Format: Artigo
Sprog:Inglês
Udgivet: Editura Universităţii „Alexandru Ioan Cuza” din Iaşi / Alexandru Ioan Cuza University of Iasi Publishing house 2024-06-01
Serier:Scientific Annals of Economics and Business
Fag:
oil market
eurozone super sectors
tvp-var frequency connectedness
volatility transmission
volatility spillovers.
Online adgang:https://saeb.feaa.uaic.ro/index.php/saeb/article/view/2274
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