The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets
Karol Szafranek, Michał Rubaszek, Gazi Salah Uddin
| Year of publication: |
2024
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|---|---|
| Authors: | Szafranek, Karol ; Rubaszek, Michał ; Uddin, Mohammed Gazi Salah |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 137.2024, Art.-No. 107760, p. 1-20
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| Subject: | Volatility connectedness | Uncertainty and sentiment | Oil market | Intraday data | TVP VAR model | Volatilität | Volatility | Ölmarkt | VAR-Modell | VAR model | ARCH-Modell | ARCH model | Risiko | Risk | Börsenkurs | Share price | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2024.107760 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015181817