Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach
Abstract This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest t...
Sábháilte in:
| Príomhchruthaitheoirí: | , , |
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| Formáid: | Artigo |
| Teanga: | Inglês |
| Foilsithe / Cruthaithe: |
SpringerOpen
2024-01-01
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| Sraith: | Financial Innovation |
| Ábhair: | |
| Rochtain ar líne: | https://doi.org/10.1186/s40854-023-00554-7 |
| Clibeanna: |
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