Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance dec...

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Detalles Bibliográficos
Autores principales: Shahzad, Syed Jawad Hussain, Bouri, Elie, Kristoufek, Ladislav, Saeed, Tareq
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2021
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7920753/
https://www.ncbi.nlm.nih.gov/pubmed/35024275
http://dx.doi.org/10.1186/s40854-021-00228-2

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7920753/
https://www.ncbi.nlm.nih.gov/pubmed/35024275
http://dx.doi.org/10.1186/s40854-021-00228-2

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