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This research explores dynamic connectedness amongst financial markets using the novel financial risk measure, global common volatility (COVOL) [Engle and Campos-Martins, 2023] and four major asset price implied volatility measures using a TVP-VAR framework. Considering a number of major...
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During the ongoing COVID-19 pandemic in the US, there has been considerable media attention regarding several US legislators who traded stocks in late January through February 2020. The concern is that these legislators traded in anticipation of COVID-19 having a major impact on the financial...
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