 Integration and risk transmission in the market for crude oil: New evidence from a time-varying parameter frequency connectedness approachIoannis Chatziantoniou, David Gabauer and Rangan Gupta Resources Policy, 2023, vol. 84, issue C Abstract: In this study, we introduce a novel time-varying parameter vector autoregressive frequency connectedness approach to obtain refined measures of the frequency transmission mechanism and dynamic integration among six well-established crude oil benchmarks. The period of investigation ranges from May 14th, 1996 to December 3rd, 2020 and focuses on the differences between short-term (1–5 days) and long-term (6–100 days) crude oil volatility connectedness. Findings are suggestive of relatively strong co-movements among crude oil volatility over time. For most part of the sample period, connectedness occurs in the short-run; nonetheless, starting approximately in 2010, long-run connectedness gains much prominence until at least the end of 2015. Long-run connectedness is also prevalent at the beginning of 2020 caused by the COVID-19 pandemic. We opine that periods of increased long-run connectedness relate to deeper changes in the market for crude oil that bring about new dynamics and associations within the specific network. Keywords: World crude oil market; TVP-VAR; Volatility spillovers; Frequency connectedness (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:84:y:2023:i:c:s0301420723004403 DOI: 10.1016/j.resourpol.2023.103729 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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