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Keywords: Range DCC-GARCH
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Journal Articles
Journal:
EuroMed Journal of Business
EuroMed Journal of Business (2025) 20 (3): 669–697.
Published: 19 March 2024
.../methodology/approach This paper examines the volatility spillover between Pax gold and fiat currencies using the framework of wavelet analysis, BEKK-GARCH models and Range DCC-GARCH. Moreover, this paper proposes to use the covariance and variance structure obtained from the new range DCC-GARCH framework...
