You sneeze, and the markets are paranoid : the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock-bond correlation
Year of publication: |
2022
|
---|---|
Authors: | Banerjee, Ameet Kumar |
Published in: |
The journal of risk finance : JRF. - Bradford : Emerald, ISSN 2331-2947, ZDB-ID 2048922-5. - Vol. 23.2022, 5, p. 652-668
|
Subject: | COVID-19 | DCC-GARCH | Markov regime-switching regression | Stock-bond correlation | Coronavirus | Korrelation | Correlation | Wirkungsanalyse | Impact assessment | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis | Konjunktur | Business cycle | Markov-Kette | Markov chain | Epidemie | Epidemic |
-
Just, Małgorzata, (2020)
-
Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market
Li, Xiaoming, (2015)
-
Cheshomi, Ali, (2021)
- More ...
-
Sovereign Bond Return Behavior to News Reports in the COVID–19 Crisis
Banerjee, Ameet Kumar, (2021)
-
Nonlinear nexus between cryptocurrency returns and COVID–19 news sentiment
Banerjee, Ameet Kumar, (2021)
-
Hunting the quicksilver : using textual news and causality analysis to predict market volatility
Banerjee, Ameet Kumar, (2021)
- More ...