Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa
Year of publication: |
February 2022
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Authors: | Van Der Westhuizen, Chevaughn ; Van Eyden, Reneé ; Aye, Goodness C. |
Publisher: |
[Cape Town] : Economic Research Southern Africa |
Subject: | COVID-19 Pandemic | Stock market returns | Exchangerate changes | Bivariate EGARCH model | Asymmetric volatility spillover | Volatilität | Volatility | Coronavirus | Spillover-Effekt | Spillover effect | Südafrika | South Africa | Aktienmarkt | Stock market | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Wechselkurs | Exchange rate | Devisenmarkt | Foreign exchange market | Börsenkurs | Share price | Ansteckungseffekt | Contagion effect | Finanzmarkt | Financial market | Epidemie | Epidemic |
Extent: | 1 Online-Ressource (circa 46 Seiten) Illustrationen |
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Series: | ERSA working paper. - Cape Town : Economic Research Southern Africa, ZDB-ID 3053126-3. - Vol. 872 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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