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Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
This study uses a combination of copulas and CoVaR to investigate risk spillovers from China to G7 countries before and during the COVID-19 pandemic. Using daily data on stock and equity sectors for the period from January 1, 2013 to June 9, 2021, the main empirical results show that, before the COV...
| 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/PMC9264816/ https://www.ncbi.nlm.nih.gov/pubmed/35822062 http://dx.doi.org/10.1016/j.ribaf.2022.101709 |