Connectedness tables for <b>Market Sentiment and Economic-Geopolitical risks for Russian Sectoral Stock Market Dynamics</b>
<p dir="ltr"><b>Table A1. </b>Averaged Connectedness for Russian Index Returns</p><p dir="ltr"><b>Table A2. </b>Averaged Connectedness for Russian Market Volatility</p><p dir="ltr"><b>Table A3. </b>Short-...
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2025
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| Summary: | <p dir="ltr"><b>Table A1. </b>Averaged Connectedness for Russian Index Returns</p><p dir="ltr"><b>Table A2. </b>Averaged Connectedness for Russian Market Volatility</p><p dir="ltr"><b>Table A3. </b>Short-Run Returns Spillovers (1-4 days)</p><p dir="ltr"><b>Table A4. </b>Medium-Run Returns Spillovers (5-28 days)</p><p dir="ltr"><b>Table A5. </b>Long-Run Returns Spillovers (28-Inf days)</p><p dir="ltr"><b>Table A6. </b>Short-Run Volatility Spillovers (1-4 days)</p><p dir="ltr"><b>Table A7. </b>Medium-Run Volatility Spillovers (5-28 days)</p><p dir="ltr"><b>Table A8. </b>Long-Run Volatility Spillovers (28-Inf days)</p><p dir="ltr"><br><b>Note(s):</b> Averaged Connectedness corresponds to TVP-VAR model with the ‘connectedness’ parameter set to ‘Time’. The results are based on a TVP-VAR model with a lag length of 5 and a 10-day GFEVD. Parameters for frequency connectedness are set according to Chatziantoniou et al. (2021)</p><p dir="ltr"><b>Note(s):</b> Short, medium and long run Connectedness is based on a TVP-VAR model with a lag length of 5 and a 10-day GFEVD. Parameters for frequency connectedness are set according to Chatziantoniou et al. (2021)</p> |
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