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Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
I analyze the shockwave effect of the COVID-19 pandemic on currency markets, with a comparison to the global financial crisis (GFC), employing Kapetanios m-break unit root test, investigations of standalone risk measures—downside variance, upside risk, volatility skewness, Gaussian Value at Risk (Va...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier B.V.
2021
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9756040/ https://www.ncbi.nlm.nih.gov/pubmed/36540770 http://dx.doi.org/10.1016/j.ribaf.2020.101377 |