Time-frequency extreme risk spillovers between COVID-19 news-based panic sentiment and stock market volatility in the multi-layer network: Evidence from the RCEP countries
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DOI: 10.1016/j.irfa.2024.103339
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More about this item
Keywords
Spillovers; Panic sentiment; RCEP; COVID-19; Multi-layer network;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
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G40 - Financial Economics - - Behavioral Finance - - - General
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