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Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers
The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance dec...
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| 出版年: | Financ Innov |
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| 主要な著者: | , , , |
| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
Springer Berlin Heidelberg
2021
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| 主題: | |
| オンライン･アクセス: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7920753/ https://ncbi.nlm.nih.gov/pubmed/35024275 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1186/s40854-021-00228-2 |
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