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Effects of volatility among commodities in the long term : analysis of a complex network

Passos, Marcelo de Oliveira; Tessmann, Mathias Schneid; … - In: Annals of financial economics 15 (2020) 3, pp. 1-14

Persistent link: https://www.econbiz.de/10012643005

Volatility transmissions and connectivity among metal and energy commodities : a network-econometric analysis

Tessmann, Mathias Schneid; Gutiérrez, Carlos Enrique … - In: Journal of economics and finance : JEF 48 (2024) 1, pp. 51-77

Persistent link: https://www.econbiz.de/10015097285

Identifying the frequency and connectivity dynamics of the US economy

Tessmann, Mathias Schneid; Passos, Marcelo de Oliveira; … - In: Economies : open access journal 12 (2024) 6, pp. 1-20

This paper seeks to investigate the connectivity of the US economy through the dynamics of the transmission of volatility in sectoral indices. For this, we use daily asset data and two methodologies. The first creates a spillover index that measures market connectivity and the second partitions...

Persistent link: https://www.econbiz.de/10014636044

Volatility transmissions between commodity futures contracts in short, medium and long term

Tessmann, Mathias Schneid; Ely, Regis Augusto; Canever, … - In: International Journal of Financial Markets and … 8 (2021) 1, pp. 79-99

Persistent link: https://www.econbiz.de/10012510336

Volatility transmission and market connectivity of metals and energy commodities : insights from the spillover index

Tessmann, Mathias; Gutiérrez, Carlos Enrique Carrasco; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 3, pp. 609-618

Persistent link: https://www.econbiz.de/10014533484