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dc.contributor.authorParavee Maneejuken_US
dc.contributor.authorSukrit Thongkairaten_US
dc.contributor.authorWilawan Srichaikulen_US
dc.description.abstractThe 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, coal, and crude oil) in the time-varying environment. This study adds to the literature by implementing the Markov-switching dynamic copula with Student-t distribution to explore the unexpected COVID-19 pandemic shock effects on energy markets. Our results revealed that (i) there is evidence of correlation between COVID-19 shocks and all energy markets; (ii) the contributions of COVID-19 shocks on energy markets are not constant along 2020. (iii), there is evidence of a similar response of the energy markets to the positive and negative COVID-19 shocks.en_US
dc.titleTime-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approachen_US
article.title.sourcetitleEnergy Reportsen_US
article.volume7en_US Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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