Realized volatility spillovers between energy and metal markets: A time-varying connectedness approach

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Title

Realized volatility spillovers between energy and metal markets: A time-varying connectedness approach

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Lincoln University

Collection

Lincoln University Research Archive

Description

This paper analyzes the degree of dynamic connectedness between energy and metal commodity prices in the pre and post-COVID-19 era, using the time-varying parameter vector autoregressive connectedness approach of Antonakakis et al. (J Risk Financ Manag 13(4):84, 2020). The results suggest that market interconnectedness increased slightly following the outbreak of COVID-19, although this increase was lower and less persistent than that observed after the Global Financial Crisis of 2008. Furthe...

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Format

Research Paper

Research format

Journal article

Date created

2024-01-08

Creator

Cunado, J / Gabauer, David / Gupta, R

URL

https://hdl.handle.net/10182/18326

Related subjects

realized volatilities / energy market / metal market / TVP-VAR / dynamic connectedness / Banking, finance and investment

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