Extreme time–frequency connectedness between oil shocks and sectoral markets in the United States

Extreme time–frequency connectedness between oil shocks and sectoral markets in the United States

Abstract This study assessed the connectedness between oil shocks and industry stock indexes in the United States (US). We consider the normal and extreme conditions across different frequency horizons, and the quantile time–frequency connectedness method is used to determine the tail risk contagion...

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Bibliographic Details
Main Authors: Oguzhan Ozcelebi, Jose Pérez-Montiel, Sang Hoon Kang
Format: Article
Language:English
Published: SpringerOpen 2025-01-01
Series:Financial Innovation
Subjects:
Oil shocks
Sector stock returns
Quantile connectedness
Quantile Granger causality
Quantile autoregressive model
Online Access:https://doi.org/10.1186/s40854-025-00755-2
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