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Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic
This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology. The empirical results indicate that the total spillover index is on average 65.6%, i...
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| Publicado no: | Heliyon |
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| Autor principal: | |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Elsevier
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7744712/ https://ncbi.nlm.nih.gov/pubmed/33354633 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.heliyon.2020.e05715 |
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