article · Zenodo (CERN European Organization for Nuclear Research)
In today’s increasingly interconnected global economy, financial markets no longer operate in isolation. Rather, they function as part of a tightly linked system where shocks in one sector can spread with varying intensity to others. This study provides a comprehensive data-driven and diagrammatic analysis of the energy, commodity, and stock market interactions. Using weekly data from August 2014 to July 2024, the study captures a decade shaped by major global disruptions, including the oil price crash, the COVID-19 pandemic and geopolitical tensions. These events serve as natural experiments, offering valuable insights into how markets evolve, especially during periods of uncertainty. Applying the Diebold-Yılmaz Connectedness Framework alongside the Time-Varying Parameter VAR (TVP-VAR) model, the study uncovers patterns of volatility transmission and market interdependence that are important for policy and investment decisions
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DOI: 10.5281/zenodo.20137315
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