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Browsing by Author "Choi, Sun-Yong"

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    Citation - WoS: 296
    Citation - Scopus: 338
    The Impact of the Russia-Ukraine Conflict on the Connectedness of Financial Markets
    (Academic Press inc Elsevier Science, 2022) Umar, Zaghum; Polat, Onur; Choi, Sun-Yong; Teplova, Tamara
    We investigate the impact of geopolitical risks caused by the Russian-Ukrainian conflict on Russia, European financial markets, and the global commodity markets. We measure the dynamic connectedness among them using time- and frequency-based time-varying parameter vector autoregression (TVP-VAR) approaches. The empirical findings indicate that (i) their relationship has changed due to the conflict; (ii) European equities and Russian bonds are the net transmitters of shocks; and (iii) the conflict affects returns and volatility connectedness among them in terms of short-and long-term frequencies, respectively.