Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets : pre & post crisis
Year of publication: |
2021
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Authors: | Vukovic, Darko B. ; Lapshina, Kseniya A. ; Maiti, Moinak |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 58.2021, p. 1-19
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Subject: | Correlation | Financial crisis | GARCH modelling | Money market | Wavelet coherence analysis | Volatilität | Volatility | Geldmarkt | Finanzkrise | ARCH-Modell | ARCH model | EU-Staaten | EU countries | Zustandsraummodell | State space model | USA | United States | Internationaler Finanzmarkt | International financial market | Großbritannien | United Kingdom | Welt | World |
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