The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance...

Our research focuses on forecasting the GDP growth rate by taking a considerable number of economic indicators from various frequencies into account within a new penalty-based mixed-frequency data model called the MIDAS-LASSO model. The empirical findings reveal that the MIDAS-LASSO model has a...

The authors examine the relation between price returns and volatility changes in the Bitcoin market using a daily database denominated in various currencies. The results for the entire period provide no evidence of an asymmetric return-volatility relation in the Bitcoin market. They test if...