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Keywords: Multiplicative error model
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Journal Articles
Journal:
Journal of Economic Studies
Journal of Economic Studies (2025) 52 (9): 215–233.
Published: 07 August 2025
... high-frequency data, a Multiplicative Error Model (MEM) quantifies spillovers, while a Markov-switching extension captures regime-dependent effects across the pre-pandemic, pandemic (2020–2021), and post-COVID phases. Robustness checks control for geopolitical risks (e.g. US–China tensions) and RMB...
