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A variance spillover analysis without covariances : what do we miss?

Fengler, Matthias; Gisler, Katja I. M. - In: Journal of international money and finance 51 (2015), pp. 174-195

Persistent link: https://www.econbiz.de/10011475252

Measuring spot variance spillovers when (co)variances are time-varying : the case of multivariate GARCH models

Fengler, Matthias; Herwartz, Helmut - 2015

Persistent link: https://www.econbiz.de/10011717132

Causal and frequency analyses of purchasing power parity

Nagayasu, Jun - In: Journal of international financial markets, … 71 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012800602

Causal and frequency analyses of purchasing power parity

Nagayasu, Jun - 2021

Persistent link: https://www.econbiz.de/10013357234

Network connectedness dynamics of the yield curve of G7 countries

Umar, Zaghum; Riaz, Yasir; Aharon, David Y. - In: International review of economics & finance : IREF 79 (2022), pp. 275-288

Persistent link: https://www.econbiz.de/10013343398

High frequency price change spillovers in bitcoin markets

Giudici, Paolo; Pagnottoni, Paolo - In: Risks : open access journal 7 (2019) 4/111, pp. 1-18

The study of connectedness is key to assess spillover effects and identify lead-lag relationships among market exchanges trading the same asset. By means of an extension of Diebold and Yilmaz (2012) econometric connectedness measures, we examined the relationships of five major Bitcoin exchange...

Persistent link: https://www.econbiz.de/10012127873