TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict
This paper aims to examine the spillover between volatilities obtained from the Conditional Autoregressive Range (CARR) process with the Time-Varying Parameter Vector Autoregressive (TVP-VAR) based Diebold-Yilmaz approach. We apply Gumbel distributed CARR (1,1) to estimate the volatilities. The sum...
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| 格式: | 文件 |
| 语言: | English |
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Ekonomi ve Finansal Araştırmalar Derneği
2022-09-01
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| 丛编: | Ekonomi, Politika & Finans Araştırmaları Dergisi |
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| 在线阅读: | https://dergipark.org.tr/tr/download/article-file/2519384 |