Przeglądaj według autora "Szafranek, Karol"
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Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
Rubaszek, Michał; Szafranek, Karol (2022-06)Unprecedented increases in European natural gas prices observed in late 2021 and early 2022 raise a question about the sources of these events. In this article we investigate this topic using a time-varying parameters ... -
Which Uncertainty Measure is Most Informative? A Time-varying Connectedness Perspective
Szafranek, Karol; Rubaszek, Michał; Uddin, Gazi Salah (2023)We investigate the relationship between the three most popular uncertainty measures with the means of the state-of-the-art connectedness frameworks applied to the time-varying parameters vector autoregression model with ... -
The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets
Szafranek, Karol; Rubaszek, Michał; Uddin, Gazi Salah (2023-11)We quantify intraday volatility connectedness between oil and key financial assets and assess how it is related to uncertainty and sentiment measures. For that purpose, we integrate the well-known spillover methodology ... -
The European energy crisis and the US natural gas market dynamics. A structural VAR investigation
Szafranek, Karol; Rubaszek, Michał (2024-03)The Russian invasion of Ukraine triggered severe disruptions in the European energy markets and caused significant shifts in global natural gas flows. In this paper we investigate to what extent this European shock has ...