Impact of COVID-19 on volatility spillovers across international markets : evidence from VAR asymmetric BEKK GARCH model
Nadia Arfaoui, Imran Yousaf
| Year of publication: |
2022
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|---|---|
| Authors: | Arfaoui, Nadia ; Yousaf, Imran |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4960, ZDB-ID 2515861-2. - Vol. 17.2022, 1, Art.-No. 2250004, p. 1-25
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| Subject: | COVID-19 pandemic | Bitcoin | Crude oil | gold | stocks | volatility spillover | Volatilität | Volatility | Coronavirus | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Ölpreis | Oil price | Wirkungsanalyse | Impact assessment | Epidemie | Epidemic | Börsenkurs | Share price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S201049522250004X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013189123