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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier B.V.
2022
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| Materias: | |
| 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 |