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The impact of COVID-19 pandemic on the volatility connectedness network of global stock market()
This paper investigates how the COVID-19 pandemic affects the connectedness network of stock market volatility in 19 economies around the world. Our method builds on the Diebold-Yilmaz volatility network model to construct the volatility spillover index, and uses lag sparse group LASSO to accommodat...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8610416/ http://dx.doi.org/10.1016/j.pacfin.2021.101678 |