Time and frequency connectedness of uncertainties in cryptocurrency, stock, currency, energy, and precious metals markets
EC Cagli, PE Mandaci - Emerging Markets Review, 2023 - Elsevier
This paper examines the connectedness of uncertainty in cryptocurrency, stock, currency,
and commodity markets. We use the novel news-based cryptocurrency uncertainty indices of
Lucey et al.(2021) and global implied volatility indices as uncertainty proxies for stock,
currency, energy, and precious metals markets. We analyze weekly data between January
2014 and May 2021, employing the time and frequency connectedness measures of
Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Our results show a low degree …
and commodity markets. We use the novel news-based cryptocurrency uncertainty indices of
Lucey et al.(2021) and global implied volatility indices as uncertainty proxies for stock,
currency, energy, and precious metals markets. We analyze weekly data between January
2014 and May 2021, employing the time and frequency connectedness measures of
Diebold and Yilmaz (2012) and Baruník and Křehlík (2018). Our results show a low degree …
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