Timing differences in the impact of Covid-19 on price volatility between assets
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DOI: 10.1016/j.frl.2021.102401
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References listed on IDEAS
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Cited by:
- Takashi Kanamura, 2023. "A difference in COVID-19 impact on bank stocks between Japan and the US," SN Business & Economics, Springer, vol. 3(7), pages 1-23, July.
- Xiangyu Chen & Jittima Tongurai & Pattana Boonchoo, 2024. "Revisiting China’s Commodity Futures Market Amid the Main Waves of COVID-19 Pandemics," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(4), pages 1035-1063, December.
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More about this item
Keywords
Asset price volatility; Covid-19; Regime switching; Infection speed;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G01 - Financial Economics - - General - - - Financial Crises
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