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model specifications, volatility effects and other robustness considerations continue to support our results. These results …
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This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators … and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures … volatility spillovers, is combined with complex network theory. Here, we construct a volatility network of international …
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Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...
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