Browsing by Author "Uddin, Gazi Salah"
Now showing items 1-2 of 2
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Which Uncertainty Measure is Most Informative? A Time-varying Connectedness Perspective
(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
(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 ...
