Yang, Cai; Zhang, Hongwei; Qin, Yun; Niu, Zibo - In: Research in international business and finance 71 (2024), pp. 1-23
stochastic volatility. The results show that the pass-through effects of the PC and TPU shocks on energy return and volatility … short-term, whereas the impact on energy market volatility was spread across relatively long periods. Generally, the impact … of TPU on energy return and volatility was greater than that of PC at different lag periods and different points. Further …
