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The COVID-19 shock : a Bayesian approach
Younes, Oussama Abi; Altuğ, Sumru - In: Journal of risk and financial management : JRFM 14 (2021) 10, pp. 1-15
The coronavirus crisis that started in December 2019 was declared a pandemic by March 2020 and had devastating global … of the lockdown measures. However, the massive fiscal and monetary stimulus packages to counteract the effects of the …
Persistent link: https://www.econbiz.de/10012792445
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The impact of COVID-19 and its policy responses on local economy and health conditions
Gungoraydinoglu, Ali; Öztekin, Ilke; Öztekin, Özde - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-27
US states have implemented lockdown measures to contain the COVID-19 pandemic. We assess the impact of state policy … associated with social distancing. We find that lockdown measures are effective in alleviating disease severity, but yield …
Persistent link: https://www.econbiz.de/10012587672
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COVID-19 vaccinations and the volatility of energy companies in international markets
Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-21
The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to April 2021. We document that vaccination...
Persistent link: https://www.econbiz.de/10012799942
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Mitigation strategies for COVID-19 : lessons from the K-SEIR model calibrated to the observable data
Lipton, Alexander; López de Prado, Marcos M. - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-38
This article develops a detailed epidemiological multi-factor model, the K-susceptible-exposed-infected-removed (K-SEIR) model, and several simpler sub-models as its building blocks. The general model enables us to account for all the relevant COVID-19 features, its disparate impact on different...
Persistent link: https://www.econbiz.de/10013273604
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Cost-effectiveness analysis of COVID-19 case quarantine strategies in two australian states : New South Wales and Western Australia
Melia, Adrian; Lee, Doowon; Mahmoudi, Nader; Li, Yameng; … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-14
Two main strategies, home and hotel isolation, have been used to isolate COVID-19 cases in most countries. Both have proven to be somewhat medically effective, but the costs to produce the desired outcome remain unclear. We used a decision tree model to compare alternatives and a simulation...
Persistent link: https://www.econbiz.de/10012622708
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Evidence of stock market contagion during the COVID-19 pandemic : a wavelet-copula-GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between...
Persistent link: https://www.econbiz.de/10012626221
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S&P 500 index price spillovers around the COVID-19 market meltdown
Lento, Camillo; Gradojevic, Nikola - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13
This paper explores price spillover effects around the COVID-19 pandemic market meltdown between the S&P 500 index, five other financial markets, and the VIX. Frequency domain causalities are estimated for the January-May 2020 time period on a high-frequency data set at five-minute intervals....
Persistent link: https://www.econbiz.de/10012626222
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The impact of COVID-19 on the work of property valuers : a glance at the Polish state of play
Uhruska, Małgorzata; Małkowska, Agnieszka - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-16
the first lockdown and the impact of restrictions on business performance. The data analyzed come from a survey of Polish …
Persistent link: https://www.econbiz.de/10012626869
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Investigating the causal linkages among inflation, interest rate, and economic growth in Pakistan under the influence of COVID-19 pandemic : a wavelet transformation approach
Hayat, Muhammad Azmat; Ghulam, Huma; Batool, Maryam; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-22
This research is the earliest attempt to understand the impact of inflation and the interest rate on output growth in the context of Pakistan using the wavelet transformation approach. For this study, we used monthly data on inflation, the interest rate, and industrial production from January...
Persistent link: https://www.econbiz.de/10012605914
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An investigation of the link between major shareholders' behavior and corporate governance performance before and after the COVID-19 pandemic : a case study of the companies listed...
Pourmansouri, Rezvan; Mehdiabadi, Amir Hedayati; … - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-30
One of the basic functions of establishing corporate governance (CG) in companies is improving performance and increasing value for shareholders. Expanding the company's value will ultimately increase the shareholders' wealth. Therefore, it is natural for shareholders to seek to improve their...
Persistent link: https://www.econbiz.de/10013273444