Shift contagion and minimum causal intensity portfolio during the COVID-19 and the ongoing Russia-Ukraine conflict

Using the TYDL causality test, this paper attempts (i) to investigate the existence of shift contagion among a large spectrum of financial markets during recent stress and stress-free periods and (ii) to propose a new approach of portfolio management based on the minimization of the causal intensity...

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Detalles Bibliográficos
Autores principales: Ben Amar, Amine, Bouattour, Mondher, Bellalah, Makram, Goutte, Stéphane
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10081879/
https://www.ncbi.nlm.nih.gov/pubmed/37305065
http://dx.doi.org/10.1016/j.frl.2023.103853

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10081879/
https://www.ncbi.nlm.nih.gov/pubmed/37305065
http://dx.doi.org/10.1016/j.frl.2023.103853

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