An empirical study on information spillover effects between the Chinese copper futures market and spot market
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- Atukeren, Erdal & Cevik, Emrah Ismail & Korkmaz, Turhan, 2015. "Downside Business Confidence Spillovers in Europe: Evidence from Causality-in-Risk Tests," MPRA Paper 76038, University Library of Munich, Germany.
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More about this item
KeywordsFutures market; Kernel function; Backtest; Information spillover; Granger causality; Conditional VaR; Extreme upside risk; Extreme downside risk;
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