Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis
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DOI: 10.1016/j.najef.2021.101457
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More about this item
Keywords
Money market; Correlation; Financial crisis; GARCH modelling; Wavelet coherence analysis;All these keywords.
JEL classification:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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