Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities
This paper investigates the total and net directional connectedness of the energy market and currency market amid volatilities (local and international) of BRICS for the period May 7, 2012 to March 31, 2022. The Time-varying parameter Vector Autoregression (TVP-VAR) connectedness approach is specif...
| Những tác giả chính: | , , , , |
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| Định dạng: | Bài viết |
| Ngôn ngữ: | English |
| Được phát hành: |
EconJournals
2023-03-01
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| Loạt: | International Journal of Energy Economics and Policy |
| Những chủ đề: | |
| Truy cập trực tuyến: | https://econjournals.com/index.php/ijeep/article/view/13846 |