Causality between volatility and the weekly economic index during COVID-19 : the predictive power of efficient markets and rational expectations
Arusha Cooray, Partha Gangopadhyay, Narasingha Das
| Year of publication: |
2023
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|---|---|
| Authors: | Cooray, Arusha ; Gangopadhyay, Partha ; Das, Narasingha |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 89.2023, p. 1-15
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| Subject: | Volatility | Asymmetric causality | COVID-19 shocks | Symmetric causality | Time-varying causality of Hatemi-J | Time-varying robust granger causality | Kausalanalyse | Causality analysis | Volatilität | Coronavirus | Rationale Erwartung | Rational expectations | Schock | Shock | Prognoseverfahren | Forecasting model | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2023.102792 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014467255