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...

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Autor principal:	Yakup Arı
Format:	Artigo
Idioma:	Inglês
Publicat:	Ekonomi ve Finansal Araştırmalar Derneği 2022-09-01
Col·lecció:	Ekonomi, Politika & Finans Araştırmaları Dergisi
Matèries:	carr diebold-yilmaz tvp-var volatility connectedness russian-ukraine war oynaklık bağlantılılığı rusya-ukrayna savaşı
Accés en línia:	https://dergipark.org.tr/tr/download/article-file/2519384
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