TVP-VAR Based CARR-Volatility Connectedness: Evidence from The Russian-Ukraine Conflict

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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Príomhchruthaitheoir: Yakup Arı
Formáid: Alt
Teanga:English
Foilsithe / Cruthaithe: Ekonomi ve Finansal Araştırmalar Derneği 2022-09-01
Sraith:Ekonomi, Politika & Finans Araştırmaları Dergisi
Ábhair:
carr
diebold-yilmaz
tvp-var
volatility connectedness
russian-ukraine war
oynaklık bağlantılılığı
rusya-ukrayna savaşı
Rochtain ar líne:https://dergipark.org.tr/tr/download/article-file/2519384

Ar líne

https://dergipark.org.tr/tr/download/article-file/2519384

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