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Asymmetric and time-frequency spillovers among commodities using high-frequency data
Massimiliano Caporin
, Muhammad Abubakr Naeem
, Muhammad Arif
, Mudassar Hasan
, Xuan Vinh Vo
, Syed Jawad Hussain Shahzad
TUIBS Digital Innovation, Sustainability & Specialist Industry
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Mathematics
Asymmetric
100%
Clustering
50%
Error Variance
50%
Frequency Domain
100%
Generalized Error
50%
High-Frequency Data
100%
Time Domain
50%
Variance
50%
Variance Decomposition
50%
Economics, Econometrics and Finance
Commodity Derivative
16%
High-Frequency Data
100%
Investors
16%
Measure of Dispersion
33%
Spillover Effect
100%
Volatility
100%
Psychology
Clustering
12%
Connectedness
100%
High-Frequency Data
100%
Spillover Effect
100%
Keyphrases
Domain Generalized
25%
Forecast Error Variance Decomposition
25%
Group Connectedness
25%
Variance Decomposition Method
25%