Model-free and Model-based connectedness in highly, medium and lowly correlated financial returns: analyses of OECD inflations
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Keywords
Persistence; fractional integration; model-free connectedness; price inflation; G12 countries;All these keywords.
JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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