Naeem, Muhammad Abubakr; Gul, Raazia; Aysan, Ahmet Faruk; … - In: Borsa Istanbul Review 24 (2024) 6, pp. 1190-1204
Using a cross-quantilogram approach, this study analyzes the transmission of higher-moment information across US industries with high-frequency (1-min) data. We investigate the effects of oil demand and supply shocks on this transmission, revealing that the impact is asymmetric. Specifically,...