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 applies the frequency version of the TVP-VAR model, which is a modified version of the dynamic TVP-VAR model. The frequency dec...
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| Main Authors: | , , , , |
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| Format: | Article |
| Published: |
Elsevier
2023
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/38493/ |
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