Covid-19 pandemic and tail-dependency networks of financial assets

This study provides evidence on the frequency-based dependency networks of various financial assets in the tails of return distributions given the extreme price movements under the exceptional circumstance of the Covid-19 pandemic, qualified by the IMF as the Great Lockdown. Our results from the qua...

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Detalles Bibliográficos
Autores principales: Le, Trung Hai, Do, Hung Xuan, Nguyen, Duc Khuong, Sensoy, Ahmet
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7572436/
https://www.ncbi.nlm.nih.gov/pubmed/33100926
http://dx.doi.org/10.1016/j.frl.2020.101800

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7572436/
https://www.ncbi.nlm.nih.gov/pubmed/33100926
http://dx.doi.org/10.1016/j.frl.2020.101800

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