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  • Search: subject:"Tail-based spillovers"
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Aktienmarkt 1 COVID-19 pandemic 1 Coronavirus 1 Estimation 1 Extreme good and bad volatility 1 Global stock markets 1 High-frequency data 1 Quantile connectedness 1 Realized semivariances 1 Schock 1 Schätzung 1 Shock 1 Shock size at various quantiles 1 Spillover effect 1 Spillover-Effekt 1 Stock market 1 Tail-based spillovers 1 VAR model 1 VAR-Modell 1 Volatility 1 Volatilität 1 Welt 1 World 1 relative intensity of shock spillover (RISS) 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Bouri, Elie 1 Harb, Etienne 1
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Journal of international financial markets, institutions & money 1
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ECONIS (ZBW) 1
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The size of good and bad volatility shocks does matter for spillovers
Bouri, Elie; Harb, Etienne - In: Journal of international financial markets, … 80 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013533155
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