Spulbar, Cristi; Birau, Felicia Ramona; Trivedi, Jatin; … - 2022
This paper investigates volatility spillovers in the stock market in Japan during the COVID-19 pandemic by using GARCH family models. The empirical analysis is focused on the dynamics of the NIKKEI 225 stock market index during the sample period from July 30, 1998, to January 24, 2022. In other...