Infectious disease equity market volatility, geopolitical risk, speculation, and commodity returns: Comparative analysis of five epidemic outbreaks

This paper uses a time-varying Granger causality test and time-varying parameter vector autoregression with stochastic volatility model to analyze the effects of infectious disease equity market volatility (ID-EMV), geopolitical risk (GPR), and speculation on commodity returns. The time-varying effe...

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Detalles Bibliográficos
Autores principales: Long, Shaobo, Guo, Jiaqi
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9150896/
https://www.ncbi.nlm.nih.gov/pubmed/35662835
http://dx.doi.org/10.1016/j.ribaf.2022.101689

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9150896/
https://www.ncbi.nlm.nih.gov/pubmed/35662835
http://dx.doi.org/10.1016/j.ribaf.2022.101689

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