Cargando…
Stock market comovements: Evidence from the COVID-19 pandemic
The COVID-19 pandemic shock has harmed the US and East Asian stock markets. Focusing on measuring the inherent correlation, this paper employs a GARCH-Copula CoVaR approach to address the debate on the extreme risk spillovers from the US to China, Japan, Hong Kong, and South Korea stock returns. The...
| Autor principal: | |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2021
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8523215/ https://www.ncbi.nlm.nih.gov/pubmed/34691197 http://dx.doi.org/10.1016/j.jeca.2021.e00228 |