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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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书目详细资料
Main Authors:	Furuoka, Fumitaka, Yaya, OlaOluwa Simon, Ling, Pui Kiew, Al-Faryan, Mamdouh Abdulaziz Saleh, Islam, M. Nazmul
格式:	Article
出版:	Elsevier 2023
主题:	Q Science (General) S Agriculture (General)
在线阅读:	http://eprints.um.edu.my/38493/
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