Dynamic Connectedness Among Alternative and Conventional Energy ETFs Based on the TVP-VAR Approach

This study investigates risk transmission in the US energy instrument market to determine if certain factors, such as crude oil and natural gas, influence this market and whether stock or energy investment portfolios track their behavior. To investigate volatility spillover, the VAR-based connectedn...

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Bibliographic Details

Published in:	Energies
Main Authors:	Joanna Górka, Katarzyna Kuziak
Format:	Article
Language:	English
Published:	MDPI AG 2024-11-01
Subjects:	dynamic connectedness volatility spillover conventional energy ETFs alternative energy ETFs TVP-VAR
Online Access:	https://www.mdpi.com/1996-1073/17/23/5929