Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.
Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.
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DOI：
10.1016/j.frl.2023.103634
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发表时间：
2023-05
影响因子：
10.4
通讯作者：
Xia, Xiaohua
中科院分区：
文献类型：
--
作者：
Huang, Jionghao;Chen, Baifan;Xu, Yushi;Xia, Xiaohua
关键词：
本文利用一种新的TVP-VAR频率连接性方法和基于QMLE的已实现波动率数据，研究了新冠肺炎前期和中期能源、大宗商品和金融市场之间的动态波动溢出。我们的研究结果表明，波动溢出主要由长期成分驱动，且具有显著的时变性，在新冠肺炎爆发期间出现了显着但短暂的激增。我们进一步发现，WTI和NGS正在盛行地同时传递和暴露于系统波动，特别是在全球大流行期间，这表明能源大宗商品市场变得更加一体化，更具影响力，同时也更容易受到全球金融市场的影响。
This paper investigates the dynamic volatility spillover among energy commodities and financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency connectedness approach and the QMLE-based realized volatility data. Our findings indicate that the volatility spillover is mainly driven by long-term components and prominently time-varying with a remarkable but short-lived surge during the COVID-19 outbreak. We further spot that WTI and NGS are prevailingly transmitting and being exposed to the system volatility simultaneously, especially during the global pandemic, suggesting the energy commodity market becoming more integrated with, more influential and meanwhile vulnerable to global financial markets.
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