Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets

Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump...

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Detalles Bibliográficos
Autores principales: Zeng, Qing, Lu, Xinjie, Li, Tao, Wu, Lan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9021036/
https://www.ncbi.nlm.nih.gov/pubmed/35469270
http://dx.doi.org/10.1016/j.frl.2022.102896

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9021036/
https://www.ncbi.nlm.nih.gov/pubmed/35469270
http://dx.doi.org/10.1016/j.frl.2022.102896

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