Stock and currency market linkages: New evidence from realized spillovers in higher moments
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DOI: 10.1016/j.iref.2015.11.003
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Keywords
Spillovers; Fractionally integrated VAR; Long memory; Higher moments; Intraday data;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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