Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis

We examine the impact of COVID-19 pandemic crisis on the pricing efficiency and asymmetric multifractality of major asset classes (S&P500, US Treasury bond, US dollar index, Bitcoin, Brent oil, and gold) within a dynamic framework. Applying permutation entropy on intraday data that covers betwee...

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Detalles Bibliográficos
Autores principales: Mensi, Walid, Sensoy, Ahmet, Vo, Xuan Vinh, Kang, Sang Hoon
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9293880/
http://dx.doi.org/10.1016/j.najef.2022.101773

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