Publicação
Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia‑Ukraine war
| dc.contributor.author | Chen, Yunfei | |
| dc.contributor.author | Jiang, Wei | |
| dc.date.accessioned | 2025-03-03T15:41:21Z | |
| dc.date.available | 2025-03-03T15:41:21Z | |
| dc.date.issued | 2024 | |
| dc.description.abstract | This paper studies the volatility spillovers among commodities in both magnitude and timescale before and after the Russia-Ukraine war. We adopt the Diebold and Yilmaz (Int J Forecast 28:57–66, 2012) and the Baruník and Křehlík (J Financ Economet 16:271–296, 2018) method based the 15-min trading data. The results show that the war increases total volatility spillover from 35.54% to 49.00%. Although total spillover is the largest within a day, net spillovers of some commodities are stronger in long term. More importantly, the war increases the importance of precious metals, oil & fats, crops, and agricultural products in different time–frequency domains. The volatility spillover of precious metals as safe-haven assets within one week increases the most. The role of the oil & fats sector changes from a net receiver to a risk transmitter. Meanwhile, crops and agricultural products sectors dominate the overall spillover in the long-term during the ongoing war period. Furthermore, the time-varying results suggest that the impact of the war is durable in the long term. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Chen, Yunfei, Wei Jiang (2024). "Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia‑Ukraine war". Portuguese Economic Journal, 23(2):249-273 | pt_PT |
| dc.identifier.doi | doi.org/10.1007/s10258-023-00242-5 | pt_PT |
| dc.identifier.issn | 1617-9838 (electronic) | |
| dc.identifier.issn | 1617-982X (print) | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/98960 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | Springer | pt_PT |
| dc.subject | Russia-Ukraine | pt_PT |
| dc.subject | War | pt_PT |
| dc.subject | Commodity | pt_PT |
| dc.subject | Volatility | pt_PT |
| dc.subject | Spillovers | pt_PT |
| dc.title | Time and frequency volatility spillovers among commodities: Evidence from pre and during the Russia‑Ukraine war | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| oaire.citation.endPage | 273 | pt_PT |
| oaire.citation.issue | 2 | pt_PT |
| oaire.citation.startPage | 249 | pt_PT |
| oaire.citation.volume | 23 | pt_PT |
| rcaap.rights | closedAccess | pt_PT |
| rcaap.type | article | pt_PT |