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基于TVP-VAR模型的动态溢出指数的计算R代码
Antonakakis et al. (2020).rar
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<html xmlns="http://www.w3.org/1999/xhtml"> <head> <meta charset="utf-8"> <meta name="generator" content="pdf2htmlEX"> <meta http-equiv="X-UA-Compatible" content="IE=edge,chrome=1"> <link rel="stylesheet" href="https://static.pudn.com/base/css/base.min.css"> <link rel="stylesheet" href="https://static.pudn.com/base/css/fancy.min.css"> <link rel="stylesheet" href="https://static.pudn.com/prod/directory_preview_static/626432b34c65f41259c17c26/raw.css"> <script src="https://static.pudn.com/base/js/compatibility.min.js"></script> <script src="https://static.pudn.com/base/js/pdf2htmlEX.min.js"></script> <script> try{ pdf2htmlEX.defaultViewer = new pdf2htmlEX.Viewer({}); }catch(e){} </script> <title></title> </head> <body> <div id="sidebar" style="display: none"> <div id="outline"> </div> </div> <div id="pf1" class="pf w0 h0" data-page-no="1"><div class="pc pc1 w0 h0"><img class="bi x0 y0 w1 h1" alt="" src="https://static.pudn.com/prod/directory_preview_static/626432b34c65f41259c17c26/bg1.jpg"><div class="c x1 y1 w2 h2"><div class="t m0 x2 h3 y2 ff1 fs0 fc0 sc0 ls0 ws0">Journal of</div><div class="t m0 x2 h4 y3 ff2 fs1 fc1 sc0 ls0 ws0">Risk and Financial</div><div class="t m0 x2 h4 y4 ff2 fs1 fc1 sc0 ls0 ws0">Management</div></div><div class="t m0 x1 h5 y5 ff3 fs2 fc2 sc0 ls0 ws0">Article</div><div class="t m0 x1 h6 y6 ff4 fs3 fc2 sc0 ls0 ws0">Re&#64257;ned<span class="_"> </span>Measures<span class="_"> </span>of<span class="_"> </span>Dynamic<span class="_"> </span>Connectedness<span class="_"> </span>Based</div><div class="t m0 x1 h6 y7 ff4 fs3 fc2 sc0 ls0 ws0">on<span class="_"> </span>T<span class="_ _0"></span>ime-V<span class="_ _1"></span>arying<span class="_"> </span>Parameter<span class="_"> </span>V<span class="_ _1"></span>ector<span class="_"> </span>Autoregressions</div><div class="t m0 x1 h7 y8 ff4 fs2 fc2 sc0 ls0 ws0">Nikolaos<span class="_"> </span>Antonakakis</div><div class="t m0 x3 h8 y9 ff4 fs4 fc2 sc0 ls0 ws0">1,2</div><div class="t m0 x4 h7 y8 ff4 fs2 fc2 sc0 ls0 ws0">,<span class="_"> </span>Ioannis<span class="_"> </span>Chatziantoniou</div><div class="t m0 x5 h8 y9 ff4 fs4 fc2 sc0 ls0 ws0">2</div><div class="t m0 x6 h7 y8 ff4 fs2 fc2 sc0 ls0 ws0">and<span class="_"> </span>David<span class="_"> </span>Gabauer</div><div class="t m0 x7 h8 y9 ff4 fs4 fc2 sc0 ls0 ws0">1,3</div><div class="t m0 x8 h9 ya ff5 fs5 fc2 sc0 ls0 ws0">1</div><div class="t m0 x9 ha yb ff5 fs6 fc2 sc0 ls0 ws0">Department<span class="_"> </span>of<span class="_"> </span>Business<span class="_"> </span>and<span class="_"> </span>Management,<span class="_"> </span>W<span class="_ _0"></span>ebster<span class="_"> </span>V<span class="_ _2"></span>ienna<span class="_"> </span>Private<span class="_"> </span>University<span class="_ _0"></span>,<span class="_"> </span>Praterstra&#223;e<span class="_"> </span>23,</div><div class="t m0 x9 ha yc ff5 fs6 fc2 sc0 ls0 ws0">1020<span class="_"> </span>V<span class="_ _2"></span>ienna,<span class="_"> </span>Austria;<span class="_"> </span>Nikolaos.Antonakakis@webster<span class="_ _0"></span>.ac.at</div><div class="t m0 x8 h9 yd ff5 fs5 fc2 sc0 ls0 ws0">2</div><div class="t m0 x9 ha ye ff5 fs6 fc2 sc0 ls0 ws0">Economics<span class="_"> </span>and<span class="_"> </span>Finance<span class="_"> </span>Subject<span class="_"> </span>Group,<span class="_"> </span>University<span class="_"> </span>of<span class="_"> </span>Portsmouth,<span class="_"> </span>Portsmouth<span class="_"> </span>Business<span class="_"> </span>School,</div><div class="t m0 x9 ha yf ff5 fs6 fc2 sc0 ls0 ws0">Portland<span class="_"> </span>Street,<span class="_"> </span>Portsmouth<span class="_"> </span>PO1<span class="_"> </span>3DE,<span class="_"> </span>UK;<span class="_"> </span>ioannis.chatziantoniou@port.ac.uk</div><div class="t m0 x8 h9 y10 ff5 fs5 fc2 sc0 ls0 ws0">3</div><div class="t m0 x9 ha y11 ff5 fs6 fc2 sc0 ls0 ws0">Institute<span class="_"> </span>of<span class="_"> </span>Applied<span class="_"> </span>Statistics,<span class="_"> </span>Johannes<span class="_"> </span>Kepler<span class="_"> </span>University<span class="_ _0"></span>,<span class="_"> </span>Altenbergerstra&#223;e<span class="_"> </span>69,<span class="_"> </span>4040<span class="_"> </span>Linz,<span class="_"> </span>Austria</div><div class="t m0 xa ha y12 ff4 fs6 fc2 sc0 ls0 ws0">*<span class="_ _3"> </span><span class="ff5">Correspondence:<span class="_ _4"> </span>david.gabauer@hotmail.com</span></div><div class="t m0 x8 ha y13 ff5 fs6 fc2 sc0 ls0 ws0">Received:<span class="_ _4"> </span>5<span class="_"> </span>March<span class="_"> </span>2020;<span class="_"> </span>Accepted:<span class="_ _4"> </span>18<span class="_"> </span>April<span class="_"> </span>2020;<span class="_"> </span>Published:<span class="_ _5"> </span>24<span class="_"> </span>April<span class="_"> </span>2020</div><div class="c xb y14 w3 hb"><div class="t m0 xc hc y15 ff6 fs7 fc3 sc0 ls1 ws0">&#58881;&#58882;<span class="_ _2"></span>&#58883;&#58881;<span class="_ _2"></span>&#58884;&#58885;&#58886;<span class="_ _2"></span>&#58887;<span class="_ _2"></span>&#58888;<span class="ff7 fs8 ls0"><span class="fc5 sc0">&#58881;</span></span></div><div class="t m0 xc hd y16 ff8 fs7 fc3 sc0 ls2 ws0">&#58881;&#58882;&#58883;&#58884;&#58885;&#58886;<span class="_"> </span>&#58887;</div></div><div class="t m0 xa h7 y17 ff4 fs2 fc2 sc0 ls0 ws0">Abstract:</div><div class="t m1 xd he y17 ff5 fs2 fc2 sc0 ls0 ws0">In<span class="_ _6"> </span>this<span class="_ _6"> </span>study<span class="_ _0"></span>,<span class="_ _6"> </span>we<span class="_ _6"> </span>enhance<span class="_ _6"> </span>the<span class="_ _6"> </span>dynamic<span class="_ _6"> </span>connectedness<span class="_ _6"> </span>measures<span class="_ _6"> </span>originally<span class="_ _6"> </span>introduced</div><div class="t m1 x8 he y18 ff5 fs2 fc2 sc0 ls0 ws0">by<span class="_ _5"> </span>Diebold<span class="_ _6"> </span>and<span class="_ _5"> </span>Y&#305;lmaz<span class="_ _5"> </span>(2012,<span class="_ _6"> </span>2014)<span class="_ _6"> </span>with<span class="_ _5"> </span>a<span class="_ _5"> </span>time-varying<span class="_ _6"> </span>parameter<span class="_ _5"> </span>vector<span class="_ _5"> </span>autoregressive<span class="_ _5"> </span>model</div><div class="t m1 xa he y19 ff5 fs2 fc2 sc0 ls0 ws0">(TVP-V<span class="_ _0"></span>AR)<span class="_"> </span>which<span class="_"> </span>pr<span class="_ _2"></span>edicates<span class="_"> </span>upon<span class="_"> </span>a<span class="_"> </span>time-varying<span class="_"> </span>variance-covariance<span class="_"> </span>str<span class="_ _2"></span>ucture.<span class="_ _5"> </span>This<span class="_"> </span>framework</div><div class="t m1 x8 he y1a ff5 fs2 fc2 sc0 ls0 ws0">allows<span class="_ _5"> </span>to<span class="_ _5"> </span>capture<span class="_ _4"> </span>possible<span class="_ _5"> </span>changes<span class="_ _5"> </span>in<span class="_ _5"> </span>the<span class="_ _5"> </span>underlying<span class="_ _6"> </span>structur<span class="_ _2"></span>e<span class="_ _5"> </span>of<span class="_ _5"> </span>the<span class="_ _5"> </span>data<span class="_ _5"> </span>in<span class="_ _5"> </span>a<span class="_ _5"> </span>more<span class="_ _4"> </span>&#64258;exible<span class="_ _5"> </span>and</div><div class="t m2 x8 he y1b ff5 fs2 fc2 sc0 ls0 ws0">robust<span class="_"> </span>manner<span class="_ _0"></span>.<span class="_ _5"> </span>Speci&#64257;cally<span class="_ _0"></span>,<span class="_"> </span>there<span class="_"> </span>is<span class="_"> </span>neither<span class="_"> </span>a<span class="_"> </span>need<span class="_"> </span>to<span class="_"> </span>arbitrarily<span class="_ _7"> </span>set<span class="_"> </span>the<span class="_"> </span>rolling-window<span class="_"> </span>size<span class="_ _7"> </span>nor<span class="_"> </span>a<span class="_"> </span>loss</div><div class="t m3 x8 he y1c ff5 fs2 fc2 sc0 ls0 ws0">of<span class="_"> </span>observations<span class="_"> </span>in<span class="_"> </span>the<span class="_"> </span>calculation<span class="_"> </span>of<span class="_"> </span>the<span class="_"> </span>dynamic<span class="_"> </span>measures<span class="_"> </span>of<span class="_"> </span>connectedness,<span class="_"> </span>as<span class="_"> </span>no<span class="_"> </span>r<span class="_ _2"></span>olling-window</div><div class="t m2 x8 he y1d ff5 fs2 fc2 sc0 ls0 ws0">analysis<span class="_"> </span>is<span class="_ _7"> </span>involved.<span class="_ _5"> </span>Given<span class="_"> </span>that<span class="_ _7"> </span>the<span class="_ _7"> </span>pr<span class="_ _2"></span>oposed<span class="_"> </span>framework<span class="_ _7"> </span>r<span class="_ _2"></span>ests<span class="_"> </span>on<span class="_ _7"> </span>multivariate<span class="_ _7"> </span>Kalman<span class="_"> </span>&#64257;lters,<span class="_ _7"> </span>it<span class="_ _7"> </span>is<span class="_"> </span>less</div><div class="t m4 x8 he y1e ff5 fs2 fc2 sc0 ls0 ws0">sensitive<span class="_"> </span>to<span class="_"> </span>outliers.<span class="_ _5"> </span>Furthermore,<span class="_"> </span>we<span class="_"> </span>emphasise<span class="_ _7"> </span>the<span class="_"> </span>merits<span class="_"> </span>of<span class="_"> </span>this<span class="_"> </span>appr<span class="_ _2"></span>oach<span class="_"> </span>by<span class="_"> </span>conducting<span class="_"> </span>Monte</div><div class="t m1 x8 he y1f ff5 fs2 fc2 sc0 ls0 ws0">Carlo<span class="_ _5"> </span>simulations.<span class="_ _8"> </span>W<span class="_ _0"></span>e<span class="_ _5"> </span>put<span class="_ _5"> </span>our<span class="_ _5"> </span>framework<span class="_ _4"> </span>into<span class="_ _5"> </span>practice<span class="_ _5"> </span>by<span class="_ _5"> </span>investigating<span class="_ _5"> </span>dynamic<span class="_ _5"> </span>connectedness</div><div class="t m5 x8 he y20 ff5 fs2 fc2 sc0 ls0 ws0">measures<span class="_"> </span>of<span class="_"> </span>the<span class="_ _7"> </span>four<span class="_"> </span>most<span class="_"> </span>traded<span class="_"> </span>for<span class="_ _2"></span>eign<span class="_"> </span>exchange<span class="_"> </span>rates,<span class="_"> </span>comparing<span class="_"> </span>the<span class="_"> </span>TVP-V<span class="_ _0"></span>AR<span class="_ _7"> </span>results<span class="_"> </span>to<span class="_"> </span>those</div><div class="t m6 x8 he y21 ff5 fs2 fc2 sc0 ls0 ws0">obtained<span class="_"> </span>from<span class="_"> </span>thr<span class="_ _2"></span>ee<span class="_"> </span>differ<span class="_ _2"></span>ent<span class="_"> </span>rolling-window<span class="_"> </span>settings.<span class="_ _5"> </span>Finally<span class="_ _0"></span>,<span class="_"> </span>we<span class="_"> </span>propose<span class="_"> </span>uncertainty<span class="_"> </span>measur<span class="_ _2"></span>es<span class="_"> </span>for</div><div class="t m7 x8 he y22 ff5 fs2 fc2 sc0 ls0 ws0">both<span class="_"> </span>TVP-V<span class="_ _0"></span>AR-based<span class="_"> </span>and<span class="_"> </span>r<span class="_ _2"></span>olling-window<span class="_"> </span>V<span class="_ _0"></span>AR-based<span class="_"> </span>dynamic<span class="_"> </span>connectedness<span class="_"> </span>measur<span class="_ _2"></span>es.</div><div class="t m7 x8 he y23 ff4 fs2 fc2 sc0 ls0 ws0">Keywords:<span class="_ _5"> </span><span class="ff5">TVP-V<span class="_ _0"></span>AR;<span class="_"> </span>dynamic<span class="_"> </span>connectedness;<span class="_"> </span>Monte<span class="_"> </span>Carlo<span class="_"> </span>simulation</span></div><div class="t m7 xa he y24 ff4 fs2 fc2 sc0 ls0 ws0">JEL<span class="_"> </span>Classi&#64257;cation:<span class="_ _5"> </span><span class="ff5">C32;<span class="_"> </span>C50;<span class="_"> </span>F31;<span class="_"> </span>G15</span></div><div class="t m7 x1 h7 y25 ff4 fs2 fc2 sc0 ls0 ws0">1.<span class="_ _5"> </span>Introduction</div><div class="t m1 x9 he y26 ff5 fs2 fc2 sc0 ls0 ws0">Investigating<span class="_"> </span>the<span class="_ _4"> </span>propagation<span class="_"> </span>of<span class="_ _4"> </span>&#64257;nancial<span class="_ _5"> </span>crises<span class="_"> </span>into<span class="_ _4"> </span>the<span class="_ _4"> </span>economy<span class="_ _4"> </span>has<span class="_ _4"> </span>been<span class="_ _5"> </span>at<span class="_"> </span>the<span class="_ _4"> </span>epicenter<span class="_ _4"> </span>of</div><div class="t m8 x1 he y27 ff5 fs2 fc2 sc0 ls0 ws0">academic<span class="_"> </span>resear<span class="_ _2"></span>ch<span class="_"> </span>in<span class="_"> </span>recent<span class="_"> </span>years,<span class="_"> </span>especially<span class="_"> </span>in<span class="_"> </span>the<span class="_"> </span>aftermath<span class="_"> </span>of<span class="_"> </span>the<span class="_"> </span>global<span class="_ _4"> </span>&#64257;nancial<span class="_"> </span>crisis<span class="_"> </span>of<span class="_ _4"> </span>2007&#8211;2009.</div><div class="t m2 x1 he y28 ff5 fs2 fc2 sc0 ls0 ws0">On<span class="_"> </span>general<span class="_ _7"> </span>principles,<span class="_ _7"> </span>crises<span class="_ _7"> </span>ar<span class="_ _2"></span>e<span class="_"> </span>unpr<span class="_ _2"></span>edictable;<span class="_"> </span>however<span class="_ _0"></span>,<span class="_"> </span>transmission<span class="_ _7"> </span>mechanisms<span class="_ _7"> </span>r<span class="_ _2"></span>elating<span class="_"> </span>to<span class="_ _7"> </span>&#64257;nancial</div><div class="t m9 x1 he y29 ff5 fs2 fc2 sc0 ls0 ws0">turmoil<span class="_"> </span>do<span class="_"> </span>share<span class="_"> </span>certain<span class="_"> </span>similarities<span class="_"> </span>(<span class="fc4">Reinhart<span class="_"> </span>and<span class="_"> </span>Rogof<span class="_ _2"></span>f<span class="_"> </span>2008<span class="fc2">).<span class="_ _5"> </span>In<span class="_"> </span>turn,<span class="_"> </span>researchers<span class="_"> </span>have<span class="_"> </span>developed</span></span></div><div class="t m7 x1 he y2a ff5 fs2 fc2 sc0 ls0 ws0">elaborate<span class="_"> </span>methods<span class="_"> </span>aiming<span class="_"> </span>to<span class="_"> </span>capture<span class="_"> </span>transmission<span class="_"> </span>mechanisms<span class="_"> </span>that<span class="_"> </span>r<span class="_ _2"></span>elate<span class="_"> </span>to<span class="_"> </span>such<span class="_"> </span>events.</div><div class="t ma x9 he y2b ff5 fs2 fc2 sc0 ls0 ws0">A<span class="_"> </span>notable<span class="_"> </span>empirical<span class="_"> </span>method<span class="_"> </span>is<span class="_"> </span>the<span class="_"> </span>one<span class="_"> </span>by<span class="_"> </span><span class="fc4">Diebold<span class="_ _4"> </span>and<span class="_"> </span>Y&#305;lmaz<span class="_"> </span></span>(<span class="fc4">2009</span>,<span class="_ _4"> </span><span class="fc4">2012</span>,<span class="_"> </span><span class="fc4">2014</span>)<span class="_"> </span>who<span class="_"> </span>introduced</div><div class="t mb x1 he y2c ff5 fs2 fc2 sc0 ls0 ws0">a<span class="_"> </span>variety<span class="_"> </span>of<span class="_"> </span>connectedness<span class="_"> </span>measures<span class="_"> </span>based<span class="_"> </span>on<span class="_"> </span>the<span class="_"> </span>notion<span class="_"> </span>of<span class="_"> </span>the<span class="_"> </span>forecast<span class="_"> </span>err<span class="_ _2"></span>or<span class="_"> </span>variance<span class="_"> </span>decomposition</div><div class="t m1 x1 he y2d ff5 fs2 fc2 sc0 ls0 ws0">that<span class="_ _6"> </span>was<span class="_ _6"> </span>derived<span class="_ _6"> </span>from<span class="_ _6"> </span>the<span class="_ _6"> </span>rolling-window<span class="_ _6"> </span>V<span class="_ _0"></span>ARs.<span class="_ _9"> </span>In<span class="_ _6"> </span>the<span class="_ _6"> </span>present<span class="_ _6"> </span>study<span class="_ _0"></span>,<span class="_ _a"> </span>we<span class="_ _6"> </span>provide<span class="_ _6"> </span>an<span class="_ _6"> </span>extension</div><div class="t m1 x1 he y2e ff5 fs2 fc2 sc0 ls0 ws0">to<span class="_ _5"> </span>the<span class="_ _6"> </span><span class="fc4">Diebold<span class="_ _5"> </span>and<span class="_ _6"> </span>Y&#305;lmaz<span class="_ _6"> </span></span>(<span class="fc4">2014</span>)<span class="_ _5"> </span>connectedness<span class="_ _6"> </span>approach<span class="_ _5"> </span>by<span class="_ _5"> </span>applying<span class="_ _6"> </span>a<span class="_ _5"> </span>time-varying<span class="_ _6"> </span>parameter</div><div class="t m3 x1 he y2f ff5 fs2 fc2 sc0 ls0 ws0">vector<span class="_"> </span>autoregr<span class="_ _2"></span>essive<span class="_"> </span>model<span class="_"> </span>(TVP-V<span class="_ _0"></span>AR)<span class="_"> </span>with<span class="_"> </span>a<span class="_"> </span>time-varying<span class="_"> </span>covariance<span class="_"> </span>structur<span class="_ _2"></span>e,<span class="_"> </span>as<span class="_"> </span>opposed<span class="_"> </span>to<span class="_"> </span>the</div><div class="t m7 x1 he y30 ff5 fs2 fc2 sc0 ls0 ws0">constant-parameter<span class="_"> </span>rolling-window<span class="_"> </span>V<span class="_ _b"></span>AR<span class="_"> </span>approach.</div><div class="t m7 xe hf y31 ff5 fs4 fc2 sc0 ls0 ws0">1</div><div class="t m7 x1 h10 y32 ff5 fs9 fc2 sc0 ls0 ws0">1</div><div class="t m1 xf h11 y33 ff5 fsa fc2 sc0 ls0 ws0">Although<span class="_ _7"> </span>there<span class="_ _4"> </span>is<span class="_ _7"> </span>in<span class="_ _4"> </span>fact<span class="_ _7"> </span>a<span class="_ _4"> </span>wealth<span class="_ _7"> </span>of<span class="_ _4"> </span>literature<span class="_ _7"> </span>regarding<span class="_"> </span>TVP-V<span class="_ _c"></span>AR<span class="_ _7"> </span>models<span class="_ _4"> </span>(see,<span class="_ _4"> </span>inter<span class="_ _7"> </span>alia,<span class="_ _4"> </span><span class="fc4">Primiceri<span class="_ _4"> </span>2005</span>;<span class="_ _4"> </span><span class="fc4">Cogley<span class="_ _7"> </span>and</span></div><div class="t mc xf h11 y34 ff5 fsa fc4 sc0 ls0 ws0">Sargent<span class="_"> </span>2005<span class="fc2">;<span class="_"> </span></span>Koop<span class="_"> </span>and<span class="_"> </span>Korobilis<span class="_"> </span>2013<span class="fc2">,<span class="_"> </span></span>2014<span class="fc2">;<span class="_"> </span></span>Del<span class="_"> </span>Negro<span class="_"> </span>and<span class="_"> </span>Primiceri<span class="_"> </span>2015<span class="fc2">;<span class="_"> </span></span>Petrova<span class="_"> </span>2019<span class="fc2">)<span class="_"> </span>we<span class="_"> </span>do<span class="_"> </span>not<span class="_"> </span>focus<span class="_"> </span>on<span class="_"> </span>the<span class="_"> </span>TVP-V<span class="_ _0"></span>AR</span></div><div class="t m2 xf h11 y35 ff5 fsa fc2 sc0 ls0 ws0">framework<span class="_"> </span>speci&#64257;cally<span class="_ _b"></span>,<span class="_"> </span>but<span class="_"> </span>we<span class="_"> </span>ar<span class="_ _2"></span>e<span class="_"> </span>rather<span class="_"> </span>concerned<span class="_ _d"> </span>with<span class="_"> </span>utilising<span class="_ _d"> </span>the<span class="_"> </span>TVP-V<span class="_ _0"></span>AR<span class="_"> </span>framework<span class="_"> </span>in<span class="_ _d"> </span>order<span class="_ _d"> </span>to<span class="_"> </span>impr<span class="_ _2"></span>ove<span class="_"> </span>the<span class="_"> </span>accuracy</div><div class="t m7 xf h11 y36 ff5 fsa fc2 sc0 ls0 ws0">of<span class="_"> </span>the<span class="_"> </span>dynamic<span class="_"> </span>connectedness<span class="_"> </span>measures.</div><div class="t m7 x1 h12 y37 ff3 fsa fc2 sc0 ls0 ws0">J.<span class="_"> </span>Risk<span class="_"> </span>Financial<span class="_"> </span>Manag.<span class="_"> </span><span class="ff4">2020<span class="ff5">,<span class="_"> </span></span></span>13<span class="ff5">,<span class="_"> </span>84;<span class="_"> </span>doi:10.3390/jrfm13040084<span class="_ _e"> </span>www<span class="_ _c"></span>.mdpi.com/journal/jrfm</span></div><a class="l" rel='nofollow' onclick='return false;'><div class="d md"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d md"></div></a><a class="l" rel='nofollow' onclick='return false;'><div class="d md"></div></a><a class="l" rel='nofollow' onclick='return false;'><div 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