COVID-19 pandemic and Romanian stock market volatility : a GARCH approach
Year of publication: |
2021
|
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Authors: | Gherghina, Ștefan Cristian ; Armeanu, Daniel Ștefan ; Joldeș, Camelia Cătălina |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 8, Art.-No. 341, p. 1-29
|
Subject: | autocorrelation | COVID-19 | GARCH models | Granger causality | Romanian stock market | vector autoregression model | volatility clustering | Volatilität | Volatility | ARCH-Modell | ARCH model | Coronavirus | Rumänien | Romania | Aktienmarkt | Stock market | Börsenkurs | Share price | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis | Wirkungsanalyse | Impact assessment | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14080341 [DOI] hdl:10419/258445 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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