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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2021
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| Materias: | |
| 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 |