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Time-frequency volatility spillovers between major international financial markets during the COVID-19 pandemic
We examine volatility spillovers and their time-frequency dynamics among major global financial markets from the outbreak of COVID-19 to present. Results show that total spillovers, driven by low frequency components, peaks at the end of March 2020 and then decline, which is not consistent with the...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Published by Elsevier Inc.
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994445/ https://www.ncbi.nlm.nih.gov/pubmed/35431670 http://dx.doi.org/10.1016/j.frl.2021.102244 |