Results 11 to 20 of about 2,968,753 (303)
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 +6 more sources
Measuring dynamic connectedness networks in energy commodities: evidence from the D‐Y and frequency connectedness approaches [PDF]
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
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
Connectedness between G10 currencies: Searching for the causal structure [PDF]
, 2022 This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Yilmaz, which is based on the forecast error variance decomposition of a VAR model.
Heinlein, Reinhold +3 more
core +1 more source
The dynamic connectedness of UK regional property returns [PDF]
Urban Studies, 2018 In this study, we examine the network topology of UK regional property returns over the period 1973Q4–2014Q4 using a dynamic measure of connectedness developed by Diebold and Yilmaz (2014). Overall, our findings indicate that the transmission of inter-regional property returns shocks is an important source of regional property return fluctuations. What
Antonakakis, Nikos +3 more
openaire +2 more sources
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
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 +1 more source
Return and volatility transmission between oil price shocks and agricultural commodities.
PLoS ONE, 2021 This paper studies the connectedness between oil price shocks and agricultural commodities. Our sample period ranges from January 2002 to July 2020, covering the three global crises; Global Financial Crisis, the European sovereign debt crisis and Covid ...
Zaghum Umar +3 more
doaj +1 more source
Buletin Ekonomi Moneter dan Perbankan, 2023 We contribute to the literature by investigating the connectedness between crude oil prices and stock returns and the impact of the Russia-Ukraine war on stock returns in selected East Asia countries. Using the TVP-VAR model, we find that, on average, 42.
Chinmaya Behera
doaj +1 more source