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Global realignment in financial market dynamics: Evidence from ETF networks. (2021). Lo, Andrew W ; Billio, Monica ; Zareei, Abalfazl ; Getmansky, Mila ; Pelizzon, Loriana.
In: SAFE Working Paper Series.
RePEc:zbw:safewp:304.

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  1. High Frequency Return and Risk Patterns in U.S. Sector ETFs during COVID-19. (2022). Alshareif, Elgilani E ; Kamalov, Firuz ; Gurrib, Ikhlaas.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2022-05-50.

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References

References cited by this document

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  26. WHO-Report, 2020. Coronavirus disease (Covid-19) (available at https://covid19. who.int/) . Appendices A. Network Measures Through Time This appendix reports the dynamics of the degree centrality and Katz centrality for the estimated network measures from our minute-by-minute ETF returns. In Figure 9, the Katz centrality from VAR estimation is presented and in Figure 10, the degree centrality is presented from LASSO estimation of the lead-lag relationships between country-specific ETFs. The results are consistent with main results in the paper.
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