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- W4385462478 abstract "Abstract This article investigates the time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis. By employing wavelet analysis, we find that: (i) As the timescale increases, the volatility spillovers between renminbi onshore and offshore markets are gradually significant and bidirectional, and they have increased significantly after the COVID-19 outbreak. (ii) The significant volatility spillovers of the two markets are decomposed into many sub-spillovers on different timescales, most possibly precipitated by heterogeneous behaviors across various investment horizons. (iii) During the COVID-19 crisis, the onshore market has the dominant position on price discovery and leads the offshore market." @default.
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- W4385462478 date "2023-08-01" @default.
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- W4385462478 title "Time-frequency volatility spillovers between Chinese renminbi onshore and offshore markets during the COVID-19 crisis" @default.
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- W4385462478 doi "https://doi.org/10.1057/s41599-023-01928-z" @default.
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