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Browsing Research Articles (University of Pretoria) by Subject "Frequency connectedness"

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Integration and risk transmission in the market for crude oil : new evidence from a time-varying parameter frequency connectedness approach

Chatziantoniou, Ioannis; Gabauer, David; Gupta, Rangan (Elsevier, 2023-07)

In this study, we introduce a novel time-varying parameter vector autoregressive frequency connectedness approach to obtain refined measures of the frequency transmission mechanism and dynamic integration among six ...

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