Polat, Onur - In: Financial innovation : FIN 10 (2024), pp. 1-27
This study examines the time-varying asymmetric interlinkages between nine US sectoral returns from January 2020 to … portfolio construction techniques. Our results reveal that (i) the sectoral return series are strongly interconnected, and … negative spillovers dominate the study period; (ii) US sectoral returns are more sensitive to negative shocks, particularly …