Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach

This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and m...

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Detalles Bibliográficos
Autores principales: Just, Małgorzata, Echaust, Krzysztof
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7521590/
https://www.ncbi.nlm.nih.gov/pubmed/33013236
http://dx.doi.org/10.1016/j.frl.2020.101775

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7521590/
https://www.ncbi.nlm.nih.gov/pubmed/33013236
http://dx.doi.org/10.1016/j.frl.2020.101775

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