Time-frequency volatility transmission among energy commodities and financial markets during the COVID-19 pandemic: A Novel TVP-VAR frequency connectedness approach.

Jionghao Huang, Baifan Chen, Yushi Xu, Xiaohua Xia

Abstract read

In one paragraph

Article in Finance research letters, 2023. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.

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1citing papers in PubMed

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1 · What the graph read from it

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1 citing paper in PubMed.

LSTM-augmented vine copula modelling for energy-finance contagion analysis.Scientific reports · 2026
Article

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5 · Who and what money

Authors and funding

4 authors.

Jionghao HuangSchool of Economics, Peking University, Beijing 100871, China.

Baifan ChenSchool of Applied Economics, Renmin University of China, Beijing 100872, China.

Yushi XuSchool of Economics and Management, China University of Petroleum (Beijing), Beijing 102249, China.

Xiaohua XiaSchool of Applied Economics, Renmin University of China, Beijing 100872, China.

Funding

No grant is acknowledged in the PubMed record.

6 · The paper itself

Abstract

This paper investigates the dynamic volatility spillover among energy commodities and financial markets in pre-and mid-COVID-19 periods by utilizing a novel TVP-VAR frequency connectedness approach and the QMLE-based realized volatility data. Our findings indicate that the volatility spillover is mainly driven by long-term components and prominently time-varying with a remarkable but short-lived surge during the COVID-19 outbreak. We further spot that WTI and NGS are prevailingly transmitting and being exposed to the system volatility simultaneously, especially during the global pandemic, suggesting the energy commodity market becoming more integrated with, more influential and meanwhile vulnerable to global financial markets.

Indexed as

COVID-19 pandemicEnergy commodity marketGlobal financial marketTVP-VAR frequency connectednessVolatility transmission dynamics

Identifiers

PMID36643778

DOI10.1016/j.frl.2023.103634

PMCPMC9827675

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