Volatility spillover between economic sectors in financial crisis prediction : evidence spanning the great financial crisis and Covid-19 pandemic
Year of publication: |
2021
|
---|---|
Authors: | Laborda, Ricardo ; Olmo, Jose |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 57.2021, p. 1-13
|
Subject: | Covid-19 | Financial crises | Random forest | S&P 500 volatility | Sectoral connectedness | Volatility spillovers | Volatilität | Volatility | Finanzkrise | Financial crisis | Coronavirus | Spillover-Effekt | Spillover effect | Wirkungsanalyse | Impact assessment | Welt | World | ARCH-Modell | ARCH model |
-
Volatility spillover between stock returns and oil prices during the Covid-19 pandemic in ASEAN
Alexandri, Mohammad Benny, (2022)
-
Corbet, Shaen, (2020)
-
COVID-19 and asymmetric volatility spillovers across global stock markets
Li, Wenqi, (2021)
- More ...
-
Optimal portfolio choices using financial leverage
Laborda, Ricardo, (2019)
-
Optimal currency carry trade strategies
Laborda, Juan, (2014)
-
Exchange rates, macroeconomic fundamentals and risk aversion
Laborda, Ricardo, (2014)
- More ...