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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2021
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| Materias: | |
| 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 |