Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA
Year of publication: |
2022
|
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Authors: | Golitsis, Petros ; Gkasis, Pavlos ; Bellos, Sotirios K. |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 63.2022, p. 1-26
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Subject: | Diebold and Yilmaz spillover index | Dynamic spillovers | Generalized forecast error variance decompositions (GFEVDs) | Generalized impulse response functions (GIRFs) | Vector autoregression model | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | USA | United States | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Dekompositionsverfahren | Decomposition method | Ölpreis | Oil price | Volatilität | Volatility |
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