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This research examines the connectedness and time-frequency correlation of price volatility across the Chinese stock market and major commodity markets. Applying a DCC-GARCH-base volatility connectedness model and the cross-wavelet transform, we examine the transmission of risk patterns in these...

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High-Frequency Volatility Connectedness and Time-Frequency Correlation among Chinese Stock and Major Commodity Markets around COVID-19

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Persistent link: https://www.econbiz.de/10013405070

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