The intraday volatility spillover index approach and an application in the Brexit vote
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DOI: 10.1016/j.intfin.2018.01.004
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- Afees A. Salisu & Taofeek O. Ayinde, 2018.
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- Afees A. Salisu & Taofeek O. Ayinde, 2018. "Testing for spillovers in Naira exchange rates: The role of electioneering& global financial crisis," Working Papers 050, Centre for Econometric and Allied Research, University of Ibadan.
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Keywords
Brexit vote; High-frequency data; Spillover index; Volatility spillover effect;JEL classification:
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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