Return and volatility transmission between emerging markets and US debt throughout the pandemic crisis
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DOI: 10.1016/j.pacfin.2021.101563
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More about this item
Keywords
Covid-19; TVP-VAR; Emerging market bonds; Media sentiment; US bonds; Dynamic connectedness;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
Statistics
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