| Autor: |
Mila Andreani, Vincenzo Candila, Giacomo Morelli, Lea Petrella |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
|
| Zdroj: |
Risks, Vol 9, Iss 8, p 144 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks9080144 |
| Popis: |
This paper shows the effects of the COVID-19 pandemic on energy markets. We estimate daily volatilities and correlations among energy commodities relying on a mixed-frequency approach that exploits information from the number of weekly deaths related to COVID-19 in the United States. The mixed-frequency approach takes advantage of the MIxing-Data Sampling (MIDAS) methods. We compare our results to those obtained by employing two well-known models that do not account for the COVID-19 low-frequency variable, namely the Dynamic EquiCorrelation (DECO) and corrected Dynamic Conditional Correlation (cDCC). Moreover, we consider four possible specifications of the volatility: GARCH, GJR, GARCH-MIDAS, and Double-Asymmetric GARCH-MIDAS. The empirical results show that our approach is statistically superior to other models and represents a valuable methodology that can be used for risk managers, investors, and policy makers to assess the effects of the pandemic on spillovers effects in energy markets. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
|
