Spillovers between Twitter uncertainty indexes and sector indexes: evidence from the US
The study examines the spillover between Twitter Uncertainty Indexes (TUI) and 10 US sectors. Our methodology is twofold: a time-varying parameter vector autoregression (TVP-VAR) to explore the dynamic connectedness among sectoral returns and a regression, mainly ordinary least squares (OLS) and qua...
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| Format: | article |
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2022
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| Online Access: | http://hdl.handle.net/10725/14986 https://doi.org/10.1016/j.bir.2022.07.002 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845022000448 |
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