The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to examine...

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Detalles Bibliográficos
Autores principales: Caporale, Guglielmo Maria, Gil-Alana, Luis Alberiko, Poza, Carlos
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9250820/
https://www.ncbi.nlm.nih.gov/pubmed/35814279
http://dx.doi.org/10.1016/j.qref.2022.06.007

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9250820/
https://www.ncbi.nlm.nih.gov/pubmed/35814279
http://dx.doi.org/10.1016/j.qref.2022.06.007

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