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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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Cryptocurrencies, technology stocks, Covid-19 and US policy responses: a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2022
technology stocks using fractional integration techniques. More precisely, it analyses the behaviour of the percentage returns in …
Persistent link: https://www.econbiz.de/10013041344
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US policy responses to the Covid-19 pandemic and sectoral stock indices : a fractional integration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Abakah, … - 2021
This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10012653343
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The Impact of Containment Measures and Monetary and Fiscal Responses on US Financial Markets During the COVID-19 Pandemic
Aikins Abakah, Emmanuel Joel; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10013220137
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US Policy Responses to the COVID-19 Pandemic and Sectoral Stock Indices : A Fractional Integration Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Aikins … - 2021
This paper uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10013322776
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The effects of US Covid-19 policy responses on cryptocurrencies, Fintech and artificial intelligence stocks : a fractional integration analysis
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
such as cryptocurrencies, financial technology, and artificial intelligence stocks using fractional integration techniques …
Persistent link: https://www.econbiz.de/10014500447
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Green Bond, Renewable Energy Stocks and Carbon Price : Dynamic Connectedness, Hedging and Investment Strategies during COVID-19 pandemic
Tiwari, Aviral Kumar; Aikins Abakah, Emmanuel Joel; … - 2021
activity wherein it examines the transmission of return patterns between green bonds, carbon prices, and renewable energy … stocks using daily data spanning from 1st January 2013 to 22nd September 2020. In this study, our dataset comprises the price … transmitter of shocks in the entire network with Green Bonds and Solactive Global Wind emerging to be the major recipients of …
Persistent link: https://www.econbiz.de/10013217030
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Gold, Bonds, and Epidemics : A Safe Haven Study
Choudhury, Tonmoy; Kinateder, Harald; Neupane, Biwesh - 2022
The COVID-19 pandemic raised the question whether gold and sovereign bonds are a safe haven during epidemics. To this … MSCI Emerging Markets Index with gold and the major sovereign bonds. We study the effectiveness as safe haven during the … investors during the epidemics, and U.S. treasuries are the safest option followed by Japanese sovereign bonds …
Persistent link: https://www.econbiz.de/10013406784
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Forecasting in a Changing World : from the Great Recession to the COVID-19 Pandemic
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021
We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...
Persistent link: https://www.econbiz.de/10013250990
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Forecasting in a changing world : from the great recession to the COVID-19 pandemic
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021
We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...
Persistent link: https://www.econbiz.de/10012416341