COVID-19 and stock market volatility: An industry level analysis

COVID-19 has had significant impact on US stock market volatility. This study focuses on understanding the regime change from lower to higher volatility identified with a Markov Switching AR model. Utilizing machine learning feature selection methods, economic indicators are chosen to best explain c...

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Detalles Bibliográficos
Autores principales: Baek, Seungho, Mohanty, Sunil K., Glambosky, Mina
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7467874/
https://www.ncbi.nlm.nih.gov/pubmed/32895607
http://dx.doi.org/10.1016/j.frl.2020.101748

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7467874/
https://www.ncbi.nlm.nih.gov/pubmed/32895607
http://dx.doi.org/10.1016/j.frl.2020.101748

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