Shahzad, Syed Jawad Hussain; Bouri, Elie; Krištoufek, … - In: Financial innovation : FIN 7 (2021), pp. 1-23
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...