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...
| 主要作者: | |
|---|---|
| 格式: | Article |
| 語言: | English |
| 出版: |
Ekonomi ve Finansal Araştırmalar Derneği
2022-09-01
|
| 叢編: | Ekonomi, Politika & Finans Araştırmaları Dergisi |
| 主題: | |
| 在線閱讀: | https://dergipark.org.tr/tr/download/article-file/2519384 |