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COVID-19 pandemic’s impact on intraday volatility spillover between oil, gold, and stock markets
This study examines the volatility spillovers between the US stock market (S&P500 index) and both oil and gold before and during the global health crisis (GHC). We apply the FIAPARCH-DCC model to the 15-minute intraday data. The results showed negative (positive) conditional correlations between...
Autores principales: | Mensi, Walid, Vo, Xuan Vinh, Kang, Sang Hoon |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Economic Society of Australia, Queensland. Published by Elsevier B.V.
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8993454/ https://www.ncbi.nlm.nih.gov/pubmed/35431407 http://dx.doi.org/10.1016/j.eap.2022.04.001 |
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