The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach

This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbr...

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Detalles Bibliográficos
Autor principal: Azimli, Asil
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7315952/
https://www.ncbi.nlm.nih.gov/pubmed/32837368
http://dx.doi.org/10.1016/j.frl.2020.101648

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7315952/
https://www.ncbi.nlm.nih.gov/pubmed/32837368
http://dx.doi.org/10.1016/j.frl.2020.101648

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