Keyword Analysis & Research: barunik and krehlik 2018

researchgate.net

https://www.researchgate.net/figure/Barunik-and-Krehlik-2018-spillover-Frequency-domain_tbl3_342050982

This paper examines the connectedness between Bitcoin and commodity volatilities, including oil, wheat, and corn, during the period Oct. 2013–Jun. 2018, using time- and frequency-domain ...

DA: 32 PA: 99 MOZ Rank: 63

semanticscholar.org

https://www.semanticscholar.org/paper/Measuring-the-Frequency-Dynamics-of-Financial-and-Barun%C3%ADk-Krehlik/921e002e4f139688a25650f93dafe8376d36383e

Mar 01, 2018 · Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk. Jozef Baruník, Tomas Krehlik. Published 1 March 2018. Economics. Journal of Financial Econometrics. We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks.

DA: 84 PA: 18 MOZ Rank: 57

github.io

https://barunik.github.io/assets/files/2018_JFEC_Krehlik_suppl.pdf

Jozef Barun ky, and Tom a sK rehl k February 14, 2018 1 Supplementary Tables and Figures 1.1 Including Fannie Mae (FNM) and Freddie Mac (FRE) As suggested in the data section, FRE and FNM were, for a substantial portion of the period, part of the US nancial system. File Size: 1MB Page Count: 6

File Size: 1MB

Page Count: 6

DA: 70 PA: 62 MOZ Rank: 63

github.io

https://gabauerdavid.github.io/ConnectednessApproach/2018BarunikKrehlik

Replication of frequencyConnectedness. ## The VAR frequency connectedness approach is implemented according to: ## Baruník, J., & Krehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk. Journal of …

DA: 38 PA: 79 MOZ Rank: 6

researchgate.net

https://www.researchgate.net/figure/Network-connectedness-using-Barunik-and-Krehlik-2018-a-Short-run-1-5days-b-Long-run_fig2_359226113

Network connectedness using Barunik and Krehlik (2018). a Short run (1–5 days). b Long run (> 5 days). This figure indicates the full sample connectedness among …

DA: 12 PA: 83 MOZ Rank: 19

ssrn.com

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2627599

Jul 08, 2015 · Tomas Krehlik. Charles University in Prague; Academy of Sciences of the Czech Republic. Date Written: December 15, 2017 ... Barunik, Jozef and Krehlik, Tomas, Measuring the frequency dynamics of financial connectedness and systemic risk (December 15, 2017). ... Journal of Financial Econometrics, Volume 16, Issue 2, 2018, Available at SSRN ...

DA: 37 PA: 66 MOZ Rank: 28

github.io

https://barunik.github.io/

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk (with T.Krehlik) Journal of Financial Econometrics (2018), 16 (2), pp. 271–296, code and package Supplementary material available. Do co-jumps …

DA: 18 PA: 82 MOZ Rank: 91

utia.cas.cz

http://library.utia.cas.cz/separaty/2018/E/barunik-0495171.pdf

Opletalova 26, 110 00 Prague, Czech Republic, or e-mail: [email protected] Received March 22, 2016; revised December 31, 2017; editorial decision January 8, 2018; accepted January 14, 2018 Abstract We propose a new framework for measuring connectedness among financial vari-ables that arise due to heterogeneous frequency responses to shocks.

DA: 84 PA: 75 MOZ Rank: 100

rdrr.io

https://rdrr.io/cran/ConnectednessApproach/man/FrequencyConnectedness.html

Mar 23, 2022 · Baruník and Křehlík (2018) frequency connectedness approach Description. This function calculates the Baruník and Křehlík (2018) frequency connectedness measures. Usage FrequencyConnectedness( Phi, Sigma, nfore, partition = c(pi, pi/2, 0), generalized = TRUE, orth = FALSE, scenario = "ABS", corrected = FALSE ) Arguments

DA: 41 PA: 87 MOZ Rank: 6

repec.org

https://ideas.repec.org/a/oup/jfinec/v16y2018i2p271-296..html

Jozef Baruník & Tomáš Křehlík, 2018. " Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk ," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 16 (2), pages 271-296. Handle: RePEc:oup:jfinec:v:16:y:2018:i:2:p:271-296.

DA: 29 PA: 87 MOZ Rank: 19