Are the systemic risk spillovers of good and bad volatility in oil and global equity markets alike?
This paper explores the asymmetric connectedness of systemic risk between the oil and global stock markets in both the time and frequency domains. To do so, we introduce time-varying parametric vector autoregressive (TVP-VAR) spillover index models and implied volatility indices to examine risk spil...
| Published in: | Energy Strategy Reviews |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2023-09-01
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| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2211467X23001414 |