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Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk*
Author(s):
Jozef Baruník
1
,
Tomáš Křehlík
2
Publication date
Created:
February 17 2018
Publication date
(Electronic):
February 17 2018
Journal:
Journal of Financial Econometrics
Publisher:
Oxford University Press (OUP)
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35
Record
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Investigating Causal Relations by Econometric Models and Cross-spectral Methods
C. W. J. Granger
(1969)
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Co-Integration and Error Correction: Representation, Estimation, and Testing
Robert F. Engle
,
C. W. J. Granger
(1987)
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Better to give than to receive: Predictive directional measurement of volatility spillovers
Francis X Diebold
,
Kamil Yilmaz
(2012)
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Author and article information
Journal
Title:
Journal of Financial Econometrics
Publisher:
Oxford University Press (OUP)
ISSN (Print):
1479-8409
ISSN (Electronic):
1479-8417
Publication date Created:
2018
Publication date Created:
March 01 2018
Publication date Created:
February 17 2018
Publication date Other:
2018
Publication date (Print):
March 01 2018
Publication date (Electronic):
February 17 2018
Volume
: 16
Issue
: 2
Pages
: 271-296
Affiliations
[
1
]
Institute of Economic Studies, Charles University
[
2
]
Institute of Information Theory and Automation, The Czech Academy of Sciences
Article
DOI:
10.1093/jjfinec/nby001
SO-VID:
c383c689-9786-4a70-bb4d-47620e364bdc
Copyright ©
© 2018
License:
http://academic.oup.com/journals/pages/about_us/legal/notices
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