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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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| Publicado no: | Financ Innov |
|---|---|
| Main Authors: | , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer Berlin Heidelberg
2021
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| Assuntos: | |
| Acesso em linha: | 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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