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The effect of COVID ‐19 pandemic on global stock markets: Return, volatility, and bad state probability dynamics
16 references·0 citing·28 second hop
The effect of COVID ‐19 pandemic on global stock markets: Return, volatility, and bad state probability dynamics (2021)The effect of COVID ‐19 pandemic on globa…The Unprecedented Stock Market Impact of COVID-19 (2020)The Unprecedented Stock Marke…The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)The COVID-19 Outbreak and Aff…Safe haven or risky hazard? Bitcoin during the Covid-19 bear market (2020)Safe haven or risky hazard? B…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Feverish Stock Price Reactions to COVID-19* (2020)Feverish Stock Price Reaction…COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach (2020)COVID-19 pandemic, oil prices…COVID-19 and the march 2020 stock market crash. Evidence from S&P1500 (2020)COVID-19 and the march 2020 s…COVID-19 and finance: Agendas for future research (2020)COVID-19 and finance: Agendas…Analysis of Financial Time Series (2010)Analysis of Financial Time Se…Testing Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…Autoregressive Conditional Skewness (1999)Autoregressive Conditional Sk…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)A STATE‐PREFERENCE MODEL OF OPTIMAL FINANCIAL LEVERAGE (1973)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)Measuring Economic Policy Uncertainty* (2016)COVID-Induced Economic Uncertainty (2020)Return connectedness across asset classes around the COVID-19 outbreak (2020)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic (2020)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Econometric Analysis of Cross Section and Panel Data (2001)A model of carbon price interactions with macroeconomic and energy dynamics (2011)STATISTICAL ARBITRAGE PAIRS TRADING STRATEGIES: REVIEW AND OUTLOOK (2016)Reducing demand uncertainty in the platelet supply chain through artificial neural networks and ARIMA models (2019)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)
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  • 1999Autoregressive Conditional Skewness

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761 cited
  • 2020COVID-19 and the march 2020 stock market crash. Evidence from S&P1500726 cited
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