Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach
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DOI: 10.3390/risks9080144
Abstract: 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… read more here.
Keywords: mixed frequency; frequency approach; energy; frequency ... See more keywords