Has the COVID-19 pandemic shock transmitted to the u.s. stock market: Evidence using bootstrap (A)symmetric fourier granger causality test in quantiles
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DOI: 10.1016/j.najef.2024.102156
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More about this item
Keywords
Stock market; COVID-19; Granger non-causality; Asymmetric causality; Quantile regression method;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- I10 - Health, Education, and Welfare - - Health - - - General
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