Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach
The spread of the COVID-19 pandemic in 2020 has contributed a large impact on various economic sectors and the energy sector is no exception. In this paper, we analyze the time-varying correlation between COVID-19 shocks (positive and negative) and energy markets (natural gas, gasoil, heating oil, c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-09-01
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| Series: | Energy Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484721003486 |