Integration and Risk Transmission in the Market for Crude Oil: A Time-Varying Parameter Frequency Connectedness Approach
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More about this item
Keywords
World crude oil market; TVP-VAR; volatility spillovers; frequency connectedness;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F30 - International Economics - - International Finance - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2021-07-12 (Energy Economics)
- NEP-NET-2021-07-12 (Network Economics)
- NEP-RMG-2021-07-12 (Risk Management)
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