The persistence of financial volatility after COVID-19

This paper analyzes the long-term effects of COVID-19 on financial volatility. We estimate the long memory parameters before and after COVID-19 for the VIX and realized variances for several international markets. Our results show that volatility measures for most countries experienced increases in...

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Detalles Bibliográficos
Autor principal: Vera-Valdés, J. Eduardo
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author(s). Published by Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760359/
https://www.ncbi.nlm.nih.gov/pubmed/36570048
http://dx.doi.org/10.1016/j.frl.2021.102056

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760359/
https://www.ncbi.nlm.nih.gov/pubmed/36570048
http://dx.doi.org/10.1016/j.frl.2021.102056

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