COVID-19 pandemic and Romanian stock market volatility: A GARCH approach
Year of publication: |
2021
|
---|---|
Authors: | Gherghina, Ștefan Cristian ; Armeanu, Daniel Ștefan ; Joldeș, Camelia Cătălina |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 8, p. 1-29
|
Publisher: |
Basel : MDPI |
Subject: | autocorrelation | COVID-19 | GARCH models | Granger causality | Romanian stock market | vector autoregression model | volatility clustering |
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