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• W4313830012 abstract "This paper investigates the dynamic volatility spillover among energy commodities and financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency connectedness approach and the QMLE-based realized volatility data. Our findings indicate that the volatility spillover is mainly driven by long-term components and prominently time-varying with a remarkable but short-lived surge during the COVID-19 outbreak. We further spot that WTI and NGS are prevailingly transmitting and being exposed to the system volatility simultaneously, especially during the global pandemic, suggesting the energy commodity market becoming more integrated with, more influential and meanwhile vulnerable to global financial markets." @default.
• W4313830012 created "2023-01-09" @default.
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• W4313830012 date "2023-05-01" @default.
• W4313830012 modified "2023-10-14" @default.
• W4313830012 title "Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach" @default.
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• W4313830012 doi "https://doi.org/10.1016/j.frl.2023.103634" @default.
• W4313830012 hasPubMedId "https://pubmed.ncbi.nlm.nih.gov/36643778" @default.
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