Przeglądaj KAE Working Papers według tematu "TVP-VAR model"
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Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis
(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 ... -
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 ...