The size of good and bad volatility shocks does matter for spillovers
Year of publication: |
2022
|
---|---|
Authors: | Bouri, Elie ; Harb, Etienne |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 80.2022, p. 1-24
|
Subject: | COVID-19 pandemic | Extreme good and bad volatility | Global stock markets | High-frequency data | Quantile connectedness | Realized semivariances | relative intensity of shock spillover (RISS) | Shock size at various quantiles | Tail-based spillovers | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Schock | Shock | Aktienmarkt | Stock market | Coronavirus | Schätzung | Estimation | Welt | World | Kapitaleinkommen | Capital income | VAR-Modell | VAR model |
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