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The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
This paper tests the market jump contagion hypothesis in the context of the Covid-19 pandemic. We first use a nonparametric approach to identify jumps by decomposing the realized volatility into continuous and jump components, and we use the threshold autoregressive model to describe the jump interd...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Authors. Published by Elsevier Inc.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8977381/ http://dx.doi.org/10.1016/j.najef.2022.101688 |