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Learning from SARS: Return and volatility connectedness in COVID-19 · Study

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ArticleLearning from SARS: Return and volatility connectedness in COVID-19

Emawtee Bissoondoyal‐Bheenick2020

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Articlegreen2020

Learning from SARS: Return and volatility connectedness in COVID-19

Emawtee Bissoondoyal‐Bheenick · Xiaolu Hu · Angel Zhong

81 citations·0/0 files stored·Finance research letters

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Financial Risk and Volatility Modeling Market Dynamics and Volatility COVID-19 Pandemic Impacts

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References

2011Better to give than to receive: Predictive directional measurement of volatility spillovers 2011On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms 2003Modeling and Forecasting Realized Volatility 2020Financial markets under the global pandemic of COVID-19 2001Familiarity Breeds Investment 2020COVID-19 and finance: Agendas for future research 2013Imprinting: Toward a Multilevel Theory 2020Feverish Stock Price Reactions to COVID-19*

Cited by

2022Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic 2020COVID−19 and Oil Price Risk Exposure 2022An application of a TVP-VAR extended joint connected approach to explore connectedness between WTI crude oil, gold, stock and cryptocurrencies during the COVID-19 health crisis 2021Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic 2021COVID-19 pandemic waves and global financial markets: Evidence from wavelet coherence analysis

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Year2020

Typearticle

Published2020-10-16

VenueFinance research letters

ISSN-L1544-6123

Languageen

Citations81

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.frl.2020.101796

openalex_workW3092973808

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2021The effect of COVID ‐19 pandemic on global stock markets: Return, volatility, and bad state probability dynamics