Equity Market Connectedness across Regimes of Geopolitical Risks
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More about this item
Keywords
Geopolitical Risk; Equity Market Connectedness; Threshold VAR; Asset Trade; Multi-Country Macroeconomic Model;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
- F12 - International Economics - - Trade - - - Models of Trade with Imperfect Competition and Scale Economies; Fragmentation
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2021-05-03 (Financial Markets)
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