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...
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| Автори: | , , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
SpringerOpen
2024-01-01
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| Серія: | Financial Innovation |
| Предмети: | |
| Онлайн доступ: | https://doi.org/10.1186/s40854-023-00554-7 |
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