Results 11 to 20 of about 15,085 (294)
Anadolu Üniversitesi Sosyal Bilimler Dergisi, 2023 This study examines the time-varying connectedness among the realized volatilities of seven major cryptocurrencies between January 2020 and May 2022. To this end, we implement the time and frequency connectedness time-varying parameter vector autoregression (TVP-VAR) approaches. Our findings propose that (i) the COVID-19 pandemic significantly affected
Polat, Onur, Onur POLAT
openaire +5 more sources
Exploring the dynamic connectedness between commodities and African equities
Cogent Economics & Finance, 2023 Market participants, regulators, and practitioners might have disregarded the prospective integration of African markets and the integration of commodity markets with traditional markets.
Samuel Kwaku Agyei, Ahmed Bossman
doaj +2 more sources
Economies, 2023 The purpose of the research is to explore the dynamic multiscale linkage between economic policy uncertainty, equity market volatility, energy and sustainable cryptocurrencies during the COVID-19 period.
Inzamam Ul Haq +4 more
doaj +2 more sources
Dynamic connectedness and integration in cryptocurrency markets [PDF]
International Review of Financial Analysis, 2019 Abstract This study applies a set of measures developed by Diebold and Yilmaz (2012, 2016) to examine connectedness via return and volatility spillovers across six large cryptocurrencies from August 7, 2015 to February 22, 2018. Regardless of the sign of returns, the results show that Litecoin and Bitcoin are at the centre of the connected network of
Qiang Ji +3 more
openaire +2 more sources
Ekonomi, Politika & Finans Araştırmaları DergisiThis paper aims to examine the impacts of selected stress variables, such as FSI (Financial Stress Index), VIX (Volatility Index), and EPU (Economic Policy Uncertainty), on dynamic connectedness between green markets (stocks and bonds) and fossil energy ...
Dilvin Taşkın +3 more
doaj +2 more sources
OPEC Energy Review, 2020 AbstractIn this study, we examine the energy commodities connectedness between the period June 2006 and April 2020 by implementing the Diebold–Yilmaz and the frequency connectedness approaches. We estimate dynamic connectedness between WTI crude oil, the Henry Hub natural gas, ULS diesel and the gasoline prices over the analysed period.
Polat, Onur, Onur Polat
openaire +3 more sources
Scientific Annals of Economics and BusinessThis paper investigates the dynamic connection between investor sentiment and a range of asset classes during the Russia-Ukraine conflict. Using daily data from January 1, 2022, to April 20, 2023, we employ the Quantile Vector Autoregressive (QVAR ...
Hayet Soltani +2 more
doaj +3 more sources
Extremal connectedness of hedge funds [PDF]
, 2022 peer reviewedWe propose a dynamic measure of extremal connectedness tailored to the short reporting period and unbalanced nature of hedge funds data. Using multivariate extreme value regression techniques, we estimate this measure conditional on factors ...
Hambuckers, Julien +5 more
core +1 more source
Spillovers between Twitter Uncertainty Indexes and sector indexes: Evidence from the US
Borsa Istanbul Review, 2022 The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a ...
Rim El Khoury, Muneer M. Alshater
doaj +1 more source
Measuring the Frequency Dynamics of Financial and Macroeconomic Connectedness [PDF]
SSRN Electronic Journal, 2015 We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on spectral representation of variance decompositions. We argue that the frequency dynamics is insightful when studying the connectedness of variables as shocks with heterogeneous frequency responses will create frequency dependent connections ...
Barunik, Jozef, Krehlik, Tomas
openaire +2 more sources