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03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
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03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model allows for both mean and volatility spillovers and for the …
Persistent link: https://www.econbiz.de/10011422554
This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
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This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …
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