COVID-19 Shock and the Time-Varying Volatility Spillovers Among the Energy and Precious Metals Markets: Evidence From A DCC-GARCH-CONNECTEDNESS Approach

• Main Authors: Xiaoyu Tan (Author), Xuetong Wang (Author), Shiqun Ma (Author), Zhimeng Wang (Author), Yang Zhao (Author), Lijin Xiang (Author)
• Format: Book
• Published: Frontiers Media S.A., 2022-07-01T00:00:00Z.
• Subjects: article
• Online Access: Connect to this object online.

The outbreak of the COVID-19 epidemic intensified the volatility of commodity markets (the energy and precious metals markets), which created a significant negative impact on the volatility spillovers among these markets. It may also have triggered a new volatility risk contagion. In this paper, we...