Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic

This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology. The empirical results indicate that the total spillover index is on average 65.6%, i...

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Detalles Bibliográficos
Autor principal: Fassas, Athanasios P.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7744712/
https://www.ncbi.nlm.nih.gov/pubmed/33354633
http://dx.doi.org/10.1016/j.heliyon.2020.e05715

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