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- W3153001253 endingPage "102101" @default.
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- W3153001253 abstract "In this study, we present the evidence of dramatic changes in the structure and time-varying patterns of volatility connectedness across equities and major commodities (oil, gold, silver and natural gas) in the US economy before and during the COVID-19 outbreak. We utilize high frequency 5-min trading data of most actively traded US ETFs to construct the volatility connectedness network. We compute the intraday volatility estimates using MCS-GARCH model and then employ Diebold and Yilmaz (2012) spillover index approach to approximate volatility spillovers between the financial markets. Our main findings showcase significant impact of COVID-19 pandemic on the volatility linkages of financial markets as the volatility connectedness among the different assets peaked during the outbreak. Other findings and implications of the study are further discussed." @default.
- W3153001253 created "2021-04-26" @default.
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- W3153001253 date "2021-08-01" @default.
- W3153001253 modified "2023-10-11" @default.
- W3153001253 title "Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic" @default.
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- W3153001253 doi "https://doi.org/10.1016/j.resourpol.2021.102101" @default.
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