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Time–frequency return co-movement among asset classes around the COVID-19 outbreak: portfolio implications
This study explores the time–frequency return connectedness of the four most relevant asset classes namely, equity, digital assets, commodity, and fixed income. To do so, we use the novel proxies of the S&P500 Index for equity, the S&P Cryptocurrency MegaCAP Index for digital assets, the S&a...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9483534/ http://dx.doi.org/10.1007/s12197-022-09594-8 |