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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier Inc.
2020
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| 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 |