Dynamic connectedness of currencies in G7 countries: A Bayesian time-varying approach
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DOI: 10.1016/j.frl.2020.101896
Abstract: Abstract This paper focuses on the dynamic connectedness of the five currencies used in G7 since 1983 in daily frequency measured by a Bayesian time-varying approach. We find that the total connectedness of the system… read more here.
Keywords: varying approach; time; dynamic connectedness; bayesian time ... See more keywords