Decomposing interconnectedness: A study of cryptocurrency spillover effects in global financial markets
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DOI: 10.1016/j.frl.2023.104950
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- Yan-Hong Yang & Ying-Hui Shao & Wei-Xing Zhou, 2024. "Contemporaneous and lagged spillovers between agriculture, crude oil, carbon emission allowance, and climate change," Papers 2408.09669, arXiv.org, revised Dec 2024.
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More about this item
Keywords
Cryptocurrency; Fed's balance sheet; Dynamic linkages; R2 decomposition;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
Statistics
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