Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness

Interlinkages across US sectoral returns: time-varying interconnectedness and hedging effectiveness

Abstract This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to January 2023. To this end, we used the time-varying parameter vector autoregression (TVP-VAR) asymmetric connectedness approach of Adekoya et al. (Resour Policy 77:102728, 202...

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Bibliographic Details
Main Author: Onur Polat
Format: Article
Language:English
Published: SpringerOpen 2024-02-01
Series:Financial Innovation
Subjects:
Asymmetric connectedness
SP500
Sectoral connectedness
Optimal portfolio strategies
Online Access:https://doi.org/10.1186/s40854-023-00581-4

Internet

https://doi.org/10.1186/s40854-023-00581-4

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