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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2020
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| Materias: | |
| 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 |