Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve
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DOI: 10.1016/j.frl.2023.104852
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Cited by:
- Stenfors, Alexis & Dilshani, Kaveesha & Guo, Andy & Mere, Peter, 2024. "Detecting the risk of cross-product manipulation in the EUREX fixed income futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
- Naifar, Nader, 2024. "Climate policy uncertainty and comparative reactions across sustainable sectors: Resilience or vulnerability?," Finance Research Letters, Elsevier, vol. 65(C).
- Wang, Mei-Chih & Chang, Tsangyao & Mikhaylov, Alexey & Linyu, Jia, 2024. "A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
- Lin, Xudong & Meng, Yiqun & Zhu, Hao, 2024. "Exploring hedging potentials of green bonds against oil price shocks: Evidence from quantile-on-quantile connectedness measures," Finance Research Letters, Elsevier, vol. 65(C).
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More about this item
Keywords
US yield curve; Dynamic connectedness; Quantile-on-quantile;All these keywords.
JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- F65 - International Economics - - Economic Impacts of Globalization - - - Finance
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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