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Year of publication
Subject
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State space model 3,944 Zustandsraummodell 3,885 Theorie 1,542 Theory 1,540 Zeitreihenanalyse 1,433 Time series analysis 1,432 Schätzung 965 Estimation 960 Prognoseverfahren 707 Forecasting model 705 Estimation theory 543 Schätztheorie 543 Volatility 524 Volatilität 523 Kalman filter 424 Stochastischer Prozess 338 Stochastic process 336 USA 330 Bayesian inference 329 United States 327 Bayes-Statistik 321 Business cycle 306 Konjunktur 302 Aktienmarkt 253 Stock market 253 Börsenkurs 226 Share price 226 Monte Carlo simulation 222 Monte-Carlo-Simulation 222 Kapitaleinkommen 216 Capital income 215 Inflation 213 Yield curve 207 Monetary policy 205 Zinsstruktur 202 Geldpolitik 201 Markov chain 196 Markov-Kette 196 Welt 196 World 196
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Online availability
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Free 1,784 Undetermined 1,150 CC license 103
Type of publication
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Article 2,286 Book / Working Paper 1,890 Other 3
Type of publication (narrower categories)
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Article in journal 2,103 Aufsatz in Zeitschrift 2,103 Graue Literatur 1,106 Non-commercial literature 1,106 Working Paper 1,093 Arbeitspapier 1,064 Aufsatz im Buch 79 Book section 79 Hochschulschrift 70 Thesis 57 Collection of articles written by one author 15 Sammlung 15 Forschungsbericht 10 Article 9 Conference paper 9 Konferenzbeitrag 9 Collection of articles of several authors 6 Sammelwerk 6 Amtsdruckschrift 3 Aufsatzsammlung 3 Bibliografie enthalten 3 Bibliography included 3 Government document 3 Amtliche Publikation 2 Konferenzschrift 2 Lehrbuch 2 Systematic review 2 Textbook 2 Übersichtsarbeit 2 Congress Report 1 Einführung 1 Rezension 1 research-article 1
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Language
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English 3,966 Undetermined 146 German 19 Spanish 18 French 13 Portuguese 7 Romanian 3 Czech 2 Polish 2 Hungarian 1 Russian 1 Slovenian 1
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Author
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Koopman, Siem Jan 142 Koop, Gary 57 Tiwari, Aviral Kumar 49 Chan, Joshua 42 Harvey, Andrew C. 29 Proietti, Tommaso 29 Lucas, André 27 Grassi, Stefano 26 Kapetanios, George 26 Gupta, Rangan 25 Schorfheide, Frank 25 Crowley, Patrick M. 23 Dijk, Herman K. van 23 Wel, Michel van der 22 Korobilis, Dimitris 21 Marcellino, Massimiliano 20 Hyndman, Rob J. 19 Snyder, Ralph D. 19 Zadrozny, Peter A. 19 Bos, Charles S. 18 Ramsey, James B. 17 Shephard, Neil G. 17 Strachan, Rodney W. 17 Casarin, Roberto 16 Chan, Joshua C. C. 16 Gallegati, Marco 16 Martin, Gael M. 16 Aloui, Chaker 15 Fernández-Villaverde, Jesús 15 Forbes, Catherine Scipione 15 Liesenfeld, Roman 15 Marczak, Martyna 15 Nakajima, Jouchi 15 Wohar, Mark E. 15 Aguiar-Conraria, Luís 14 Mandler, Martin 14 Ooms, Marius 14 Soares, Maria Joana 14 Dar, Arif Billah 13 Fiorentini, Gabriele 13
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Institution
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National Bureau of Economic Research 20 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Scottish Institute for Research in Economics (SIRE) 7 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 6 Economics Department, University of Strathclyde 5 University of Strathclyde / Department of Economics 5 Department of Econometrics and Business Statistics, Monash Business School 4 Department of Economics, University of Pennsylvania 4 Econometric Society 4 European Commission / Statistical Office of the European Communities 4 European University Institute / Department of Economics 4 Queen Mary College / Department of Economics 4 Tinbergen Instituut 4 Department of Economics, Iowa State University 3 Ekonomiska forskningsinstitutet <Stockholm> 3 European Commission / Joint Research Centre 3 Institute for Monetary and Economic Studies, Bank of Japan 3 School of Economics and Management, University of Aarhus 3 Tinbergen Institute 3 Banco de España 2 Center for Economic Research <Tilburg> 2 Center for Financial Studies 2 Centre for Analytical Finance <Århus> 2 Centre for Quantitative Economics & Computing 2 EconWPA 2 European Central Bank 2 Federal Reserve Bank of St. Louis 2 Finance Discipline Group, Business School 2 HAL 2 Institute of Economic Research, Hitotsubashi University 2 Institutet för Internationell Ekonomi <Stockholm> 2 Nationalekonomiska Institutionen <Göteborg> 2 Nepal Rastra Bank 2 Nuffield College 2 Rimini Centre for Economic Analysis (RCEA) 2 School of Economics and Finance, Queen Mary 2 University of Cambridge / Department of Applied Economics 2 Verlag Dr. Kovač 2 de Nederlandsche Bank 2 BBVA Research, Grupo BBVA 1
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Published in...
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Discussion paper / Tinbergen Institute 99 Economic modelling 85 Computational economics 59 Journal of econometrics 59 International journal of forecasting 58 Economics letters 57 Energy economics 55 Journal of forecasting 51 Journal of economic dynamics & control 43 Finance research letters 42 Applied economics letters 41 Applied economics 40 CAMA working paper series 37 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 37 Working paper / Department of Econometrics and Business Statistics, Monash University 35 International review of economics & finance : IREF 34 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 34 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 31 The North American journal of economics and finance : a journal of financial economics studies 31 Working paper 28 International review of financial analysis 23 Discussion paper / Centre for Economic Policy Research 22 Working paper series / European Central Bank 22 Econometric reviews 21 Finance and economics discussion series 21 Journal of applied econometrics 21 CREATES research paper 20 Empirical economics : a quarterly journal of the Institute for Advanced Studies 19 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 18 Journal of empirical finance 18 CAMA Working Paper 17 CESifo working papers 17 NBER Working Paper 17 Bank of Finland research discussion papers 16 NBER working paper series 16 International Journal of Energy Economics and Policy : IJEEP 15 Journal of macroeconomics 15 Diskussionsbeiträge / Fakultät Wirtschaftswissenschaft, FernUniversität in Hagen 14 ECB Working Paper 14 International journal of finance & economics : IJFE 14
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Source
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ECONIS (ZBW) 3,954 RePEc 174 EconStor 38 BASE 9 ArchiDok 2 Other ZBW resources 2
Showing 1 - 50 of 4,179
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Staying positive : challenges and solutions in using pure multiplicative ETS models
Svetunkov, Ivan; Boylan, John Edward - In: IMA journal of management mathematics 35 (2024) 3, pp. 403-425
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Analysis forecasting of gasoline prices in some ASEAN countries by using state space representation on vector autoregressive model
Mustofa Usman; Komarudin, M.; Nurhanurawati, Nurhanurawati - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 6, pp. 194-202
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Strategic decision-making on mining sector company stock prices and economic variable (state space model application)
Ahadiat, Ayi; Kesumah, Fajrin Satria Dwi; Azhar, Rialdi; … - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 3, pp. 177-184
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Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models
Hartkopf, Jan Patrick - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 393-436
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Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
Huber, Florian; Kastner, Gregor; Pfarrhofer, Michael - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 535-553
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Measuring natural rate of interest in Uzbekistan
Inkhomiddinov, Islomjon - 2025
The natural rate of interest, often interpreted as the equilibrium real interest rate, serves as a critical benchmark for evaluating the stance of monetary policy. This paper investigates the natural rate of interest in Uzbekistan using three econometric approaches: the HLW-type model1 , a...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015194423
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Dynamic linkages between economic policy uncertainty and external variables in Latin America : wavelet analysis
Marín-Rodríguez, Nini Johana; González-Ruiz, Juan David - In: Economies : open access journal 13 (2025) 2, pp. 1-28
Wavelet coherence analysis (WCA) examines the dynamic interactions between economic policy uncertainty (EPU) in Brazil, Chile, Colombia, and Mexico and key external variables, using monthly data from 2010 to 2022. The findings reveal the following: (i) medium-term co-movements (4-16 months)...
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From waves to rates : enhancing inflation forecasts through combinations of frequency-domain models
Verona, Fabio - 2025
This paper addresses the challenge of inflation forecasting by adopting a thick modeling approach that integrates forecasts from time- and frequency-domain models. Frequency-domain models excel at capturing long-term trends while also accounting for short-term fluctuations. Combining these...
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Unravelling the impact of clean energy on the tourism sector of the stock market : Evidence from quantile granger causality and wavelet coherence analysis
Wang, Yiwei; Sun, Zhaoyang; Feng, Chao; Wu, Ran; Yan, Jiale - In: International review of economics & finance : IREF 98 (2025), pp. 1-14
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Quantifying Federal Reserve credibility
Hall, Stephen G.; Tavlas, George S. - 2025
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Inflation synchronization and shock transmission between the eurozone and the non-euro CEE Economies : a wavelet quantile VAR approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Muchova, Eva - 2025
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Trend inflation and structural shocks
Fu, Bowen; Mendieta-Muñoz, Ivan - 2025
This paper studies the effects of key underlying macroeconomic variables on the trend inflation rate in the USA. To do so, we consider eight structural shocks that incorporate a broad set of information for the US economy and that can be regarded as the main structural determinants of the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195132
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Longer-run equilibrium interest rates : evidence from the United Kingdom
Kaykhusraw, Omar - In: Economica 92 (2025) 366, pp. 457-482
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Modelling and forecasting of exchange rate pairs using the Kalman filter
Date, Paresh; Maunthrooa, Janeeta - In: Journal of forecasting 44 (2025) 2, pp. 606-622
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Money growth and inflation : how to account for the differences in empirical results
Mandler, Martin; Scharnagl, Michael - In: Journal of forecasting 44 (2025) 3, pp. 1009-1025
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The implications of non-synchronous trading in G-7 financial markets
Dimitriou, Dimitrios; Kenourgios, Dimitris; Simos, Theodore - 2025
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Simulation smoothing for state space models : an extremum Monte Carlo approach
Moussa, Karim - 2025
This paper introduces a novel approach to simulation smoothing for nonlinear and non-Gaussian state space models. It allows for computing smoothed estimates of the states and nonlinear functions of the states, as well as visualizing the joint smoothing distribution. The approach combines...
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Revisiting the state-space model of unawareness
Rathke, Alex Augusto Timm - In: Finance research letters 72 (2025), pp. 1-6
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The anatomy of small open economy trends
Görtz, Christoph; Theodoridis, Konstantinos; … - 2022
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A state space modeling for proactive management in equity investment
Takahashi, Akihiko; Takahashi, Soichiro - In: International journal of financial engineering 9 (2022) 4, pp. 1-29
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Dynamic factor models : does the specification matter?
Miranda, Karen; Poncela, Pilar; Ruiz, Esther - In: SERIEs : Journal of the Spanish Economic Association 13 (2022) 1, pp. 397-428
Dynamic factor models (DFMs), which assume the existence of a small number of unobserved underlying factors common to a large number of variables, are very popular among empirical macroeconomists. Factors can be extracted using either nonparametric principal components or parametric Kalman...
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State-space implementation in forecasting carbon and gas prices in commodity markets
Azhar, Rialdi; Wisnu, Febryan Kusuma; Kesumah, Fajrin … - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 3, pp. 280-286
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A unified framework to estimate macroeconomic stars
Zaman, Saeed - 2022 - This version: July 31, 2022
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Stochastic conditional duration model with intraday seasonality and limit order book information
Toyabe, Tomoki; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-25
It is a widely known fact that the intraday seasonality of trading intervals for financial transactions such as stocks is short at the beginning of business hours and long in the middle of the day. In this paper, we extend the stochastic conditional duration (SCD) model to capture the pattern of...
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Measuring Swiss employment growth : a measurement-error approach
Stucki, Yannic - 2022
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A state space modeling for proactive management in equity investment
Takahashi, Akihiko; Takahashi, Soichiro - 2022
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Detecting and measuring financial cycles in heterogeneous agents models : an empirical analysis
Gusella, Filippo - 2022
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Forecasting us commercial property price indexes using dynamic factor models
Minne, Alex van de; Francke, Marc; Geltner, David - In: Journal of real estate research : JRER ; a publication … 44 (2022) 1, pp. 29-55
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A state space modeling for proactive management in equity investment
Takahashi, Akihiko; Takahashi, Soichiro - 2022
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A state-space approach for time-series prediction of an heterogeneous agent model
Gusella, Filippo; Ricchiuti, Giorgio - 2022
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Extracting inflation expectations and risk premia from the breakeven inflation rate in Iceland
Thórarinn G. Pétursson - 2024
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Path shadowing Monte Carlo
Morel, Rudy; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 9, pp. 1199-1225
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Detecting rough volatility : a filtering approach
Damian, Camilla; Frey, Rüdiger - In: Quantitative finance 24 (2024) 10, pp. 1493-1508
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Modelling dynamic relationships between energy prices and inflation in Euro area using wavelets
Alqaralleh, Huthaifa; Canepa, Alessandra - 2024
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Futures leads the spot but why not so when market in shocks? : a time-varying price discovery of Indian precious metals
Saini, Chanchal; Sharma, Ishwar - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 1-25
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Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components
Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024
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Missing data substitution for enhanced robust filtering and forecasting in linear state-space models
Dobrev, Dobrislav; Szerszeń, Pawel J. - 2024
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Estimating deposit interest rate pass-through in central and Eastern European countries using wavelet transform and error correction model
Hajnal, Gábor; Hosszú, Zsuzsanna; Ozoróczy, Ákos Attila - 2024
Our study deals with interest rate pass-through for household and corporate deposits in the Central and Eastern European (CEE) region, focusing on the tightening cycle starting in the middle of 2021. This period is of particular interest for interest rate pass-through, as the sharp hikes by...
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Regulatory competition and cross-fertilization in bank performance in the US banking markets
Tırtıroğlu, Doğan; Günsür, Başak Tanyeri; … - In: Financial markets, institutions & instruments 33 (2024) 4, pp. 411-445
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Climate-related default probabilities
Blanc-Blocquel, Augusto; Ortiz-Gracia, Luis; Sanfelici, … - In: Risks : open access journal 12 (2024) 11, pp. 1-19
Climate risk refers to the risks associated with climate change and has already started to impact various sectors of the economy. In this work, we focus on the impact of physical risk on the probability of default for a firm in the agribusiness sector. The probability of default is estimated...
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Stochastic default risk estimation evidence from the South African financial market
Alfeus, Mesias; Fitzhenry, Kirsty; Lederer, Alessia - In: Computational economics 64 (2024) 3, pp. 1715-1756
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Dynamic factor models and fractional integration : with an application to US real economic activity
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Econometrics : open access journal 12 (2024) 4, pp. 1-13
This paper makes a twofold contribution. First, it develops the dynamic factor model of by allowing for fractional integration instead of imposing the classical dichotomy between I(0) stationary and I(1) non-stationary series. This more general setup provides valuable information on the degree...
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A Hodrick-Prescott filter with automatically selected jumps
Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014578421
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The performance of OECD's composite leading indicator
Ojo, Mustapha Olalekan; Aguiar-Conraria, Luís; Soares, … - In: International journal of finance & economics : IJFE 29 (2024) 2, pp. 2265-2277
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
In this paper, we assess whether key relations between US interest rates have been stable over time. This is done by estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury bill rate, the slope of the Treasury yield curve...
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Herding behaviour towards high order systematic risks and the contagion effect : evidence from BRICS stock markets
Zhang, Yi; Zhou, Long; Liu, Zhidong; Wu, Baoxiu - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-10
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Forecasting realized covariances using HAR-type models
Quiroz, Matias; Tafakori, Laleh; Manner, Hans - 2024
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On the Hamilton-HP filter controversy : evidence from German business cycles
Siemers, Lars - 2024 - This version: 12 December, 2024
James Hamilton put doubt on the quality of the HP filter estimates, and proposed an alternative regression approach to decompose trend and cycle of time series (H filter). We investigate the new H filter in detail and compare it to the HP filter. We apply both to German GDP time series. We find...
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Covered interest parity: a forecasting approach to estimate the neutral band
Hernández, Juan R. - 2024
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Analyzing time-frequency connectedness between cryptocurrencies, stock indices, and benchmark crude oils during the COVID-19 pandemic
Ghazani, Majid Mirzaee; Malekshah, Ali Akbar Momeni; … - In: Financial innovation : FIN 10 (2024), pp. 1-28
We used daily return series for three pairs of datasets from the crude oil markets (WTI and Brent), stock indices (the Dow Jones Industrial Average and S&P 500), and benchmark cryptocurrencies (Bitcoin and Ethereum) to examine the connections between various data during the COVID-19 pandemic. We...
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