Hagenberg im Mühlkreis, Upper Austria 4232
Software Competence Center Hagenberg
Dynamic connectedness; hedging strategies; volatility portfolios; oil prices; stock market indices
Green bonds, Connectedness, United States, Europe, China, Dynamic portfolio analysis.
COVID-19, TVP-VAR, dynamic connectedness, portfolio management, hedging effectiveness, green bonds, renewable energy stocks, carbon price
Dynamic Connectedness, Elastic Net VAR, Lasso VAR, Ridge VAR, U.S. Housing
Monetary Policy, Speculation, TVP-VAR, Dynamic Connectedness, Quantiles
DCC-GARCH, Volatility Impulse Response Functions, Dynamic Connectedness, Exchange Rate Volatility
Economic Policy Uncertainty, Time-Varying Model, Connectedness Index
Crude oil, refined petroleum products, tail risk spillovers, dynamic connectedness, TVPVAR, CAViaR, COVID-19
Crude oil; stock market indices; G7; COVID-19; TVP-VAR; dynamic connectedness; volatility spillovers.
COVID-19 sentiment news; volatility indices; TVP-VAR; dynamic connectedness; joint connectedness.
Bayesian TVP-(Pseudo)FAVAR, Exchange Rate Regimes, Connectedness
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