Yang, Cai; Zhang, Hongwei; Qin, Yun; Niu, Zibo - In: Research in international business and finance 71 (2024), pp. 1-23
energy market from January 2000 to July 2021 by employing a time-varying parameter vector autoregressive model with … varied over time and are different across energy sub-sectors. PC and TPU had a greater impact on energy market return in the … short-term, whereas the impact on energy market volatility was spread across relatively long periods. Generally, the impact …