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Browsing Research Articles (Financial Management) by Subject "Realised volatility"

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Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence

Szczygielski, Jan Jakub; Charteris, Ailie; Obojska, Lidia (Elsevier, 2023-05)

We investigate stock market uncertainty spillovers to commodity markets using wavelet coherence and a general stock market-related Google search trends (GST)-based index to proxy for uncertainty. GST reflect stock market ...

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