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return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
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return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
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The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the US and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower...
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Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility … observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …
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