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Timing differences in the impact of Covid-19 on price volatility between assets()
We empirically examine the impacts of Covid-19 on asset price volatilities by focusing on the timing. This paper has three contributions. First, we propose a new Covid-19 dependent regime-switching volatility model for the examination. Second, results show a shift to a higher price volatility regime...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier Inc.
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8418564/ https://www.ncbi.nlm.nih.gov/pubmed/34512210 http://dx.doi.org/10.1016/j.frl.2021.102401 |