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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
The Author(s). Published by Elsevier Inc.
2022
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| 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 |