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Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany

We analyzed the return and volatility spillover between the COVID-19 pandemic in 2020, the crude oil market, and the stock market by employing two empirical methods for connectedness: the time-domain approach developed by Diebold and Yilmaz (2012) and the method based on frequency dynamics developed...

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Detalles Bibliográficos
Autores principales: Zhang, Wenting, Hamori, Shigeyuki
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7866850/
http://dx.doi.org/10.1016/j.irfa.2021.101702