Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.
Financ Res Lett
; 53: 103634, 2023 May.
Article
in English
| MEDLINE | ID: covidwho-2178870
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Health_economic_evaluation
Language:
English
Journal:
Financ Res Lett
Year:
2023
Document Type:
Article
Affiliation country:
J.frl.2023.103634
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