Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics

We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors d...

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Detalles Bibliográficos
Autores principales: Costa, Antonio, Matos, Paulo, da Silva, Cristiano
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856893/
https://www.ncbi.nlm.nih.gov/pubmed/35221808
http://dx.doi.org/10.1016/j.frl.2021.102124

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856893/
https://www.ncbi.nlm.nih.gov/pubmed/35221808
http://dx.doi.org/10.1016/j.frl.2021.102124

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