COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
Muhammad Abubakr Naeem, Sitara Karim, Larisa Yarovaya, Brian M. Lucey
| Year of publication: |
2023
|
|---|---|
| Authors: | Naeem, Muhammad Abubakr ; Karim, Sitara ; Yarovaya, Larisa ; Lucey, Brian M. |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 122.2023, p. 1-11
|
| Subject: | COVID-19 | Intraday volatility | TVP-VAR | US ETFs | Wavelet analysis | Volatilität | Volatility | USA | United States | Coronavirus | Indexderivat | Index derivative | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2023.106677 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014440746