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TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict

This paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach. We apply Gumbel distributed CARR (1,1) to estimate the volatilities. The sum...

Ausführliche Beschreibung

Gespeichert in:
1. Verfasser: Yakup Arı
Format: Artigo
Sprache:Inglês
Veröffentlicht: Ekonomi ve Finansal Araştırmalar Derneği 2022-09-01
Schriftenreihe:Ekonomi, Politika & Finans Araştırmaları Dergisi
Schlagworte:
carr
diebold-yilmaz
tvp-var
volatility connectedness
russian-ukraine war
oynaklık bağlantılılığı
rusya-ukrayna savaşı
Online-Zugang:https://dergipark.org.tr/tr/download/article-file/2519384
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