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Keywords: TVP-VAR frequency connectedness
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2024) 41 (5): 1057–1084.
Published: 26 January 2024
... Granger causality approaches. This paper investigates how the network of precious metal returns and volatility reacts to the shocks arising from EPU and GPR and their EPGR, applying the novel time-varying parameter vector autoregression (TVP-VAR) frequency connectedness approach by Chatziantoniou et...
