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