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Rubaszek, Michał; Szafranek, Karol, 2024, "Data and replication codes for publication: The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets", https://doi.org/10.18150/OLWAOH, RepOD, V1
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The file contains data as well as R files necessary to replicate the results from the second stage regression in our paper "The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets" published in Energy Economics.
Please consult the readme.txt file for more information.
volatility connectedness, uncertainty and sentiment, oil market, intraday data, TVP VAR model
Karol Szafranek, Michał Rubaszek, Gazi Uddin, 2024. The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets. Energy Economics 137, 107760. doi: 10.1016/j.eneco.2024.107760 https://doi.org/10.1016/j.eneco.2024.107760 doi: 10.1016/j.eneco.2024.107760
CC BY - Creative Commons Attribution 4.0
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