Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets: Evidence from the United States
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DOI: 10.1016/j.najef.2016.09.004
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More about this item
Keywords
Price shock transmission; Volatility spillovers; Time-varying structural vector autoregression model; Stochastic volatility;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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