Transmission of risks between energy and agricultural commodities: Frequency time-varying VAR, asymmetry and portfolio management

• Main Authors: Furuoka, Fumitaka, Yaya, OlaOluwa Simon, Ling, Pui Kiew, Al-Faryan, Mamdouh Abdulaziz Saleh, Islam, M. Nazmul
• Format: Article
• Published: Elsevier 2023
• Subjects: Q Science (General); S Agriculture (General)
• Online Access: http://eprints.um.edu.my/38493/

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...