Extreme time-frequency connectedness across U.S. sector stock and commodity futures markets
Year of publication: |
2024
|
---|---|
Authors: | Bhattacherjee, Purba ; Mishra, Sibanjan ; Kang, Sang Hoon |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 93.2024, 2, p. 1176-1197
|
Subject: | Commodity markets | COVID-19 | Geopolitical crisis | Portfolio management | Quantile spillover | Time-frequency analysis | U.S. sectoral indices | USA | United States | Portfolio-Management | Portfolio selection | Rohstoffderivat | Commodity derivative | Coronavirus | Spillover-Effekt | Spillover effect | Warenbörse | Commodity exchange | Schätzung | Estimation | Rohstoffmarkt | Commodity market | Welt | World | Volatilität | Volatility |
-
Byrne, Joseph P., (2022)
-
Crude oil volatility transmission across food commodity markets : a multivariate BEKK-GARCH approach
Thenmozhi, M., (2021)
-
Propagation of commodity market shocks
Marini, Annalisa, (2017)
- More ...
-
Bhattacherjee, Purba, (2024)
-
Does asset-based uncertainty drive asymmetric return connectedness across regional ESG markets?
Bhattacherjee, Purba, (2024)
-
Predictors of firm growth in India: An exploratory analysis using accounting information
Mishra, Sibanjan, (2018)
- More ...