The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis
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DOI: 10.1016/j.irfa.2024.103454
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More about this item
Keywords
Volatility spillover; Multiscale analysis; Financial markets;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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