Shigemoto, Hideto; Morimoto, Takayuki - In: Journal of risk and financial management : JRFM 15 (2022) 10, pp. 1-21
the Japanese stock market differs between a few years preceding the coronavirus disease 2019 (pre-COVID-19), from 2014 to … 2019, and during the COVID-19 period, in 2020. Although the energy resources and bank sectors are risk receivers in the pre-COVID …-19 period, these sectors are risk transmitters during the COVID-19 period. We also find that volatility spillovers in the …