Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices
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DOI: 10.1016/j.physa.2023.128581
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- Yen, Kuang-Chieh & Nie, Wei-Ying & Chang, Hsuan-Ling & Chang, Li-Han, 2023. "Cryptocurrency return dependency and economic policy uncertainty," Finance Research Letters, Elsevier, vol. 56(C).
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Keywords
Forecast error variance decomposition; Maximal spanning tree; Infinite incipient percolation cluster; Cryptocurrency market; Carbon emissions; Energy market;All these keywords.
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