Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management
This paper examines energy and agricultural commodities' short-run and long-run
connectedness by using the Time-varying parameter vector autoregressions (TVP-VAR). It …
connectedness by using the Time-varying parameter vector autoregressions (TVP-VAR). It …
Dynamic connectedness of economic policy uncertainty in G7 countries and the influence of the USA and UK on non-G7 countries
We examine the median and tail connectedness of the economic policy uncertainties in G7
countries (Canada, France, Germany, Italy, Japan, the UK, and the USA) and several non …
countries (Canada, France, Germany, Italy, Japan, the UK, and the USA) and several non …