COVID-19 and stock returns : evidence from the Markov switching dependence approach
Year of publication: |
2023
|
---|---|
Authors: | Bouteska, Ahmed ; Sharif, Taimur ; Abedin, Mohammad Zoynul |
Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 64.2023, p. 1-21
|
Subject: | COVID-19 | GJR-GARCH model | Markov regime-switching model | SJC copula functions | US stock markets | Coronavirus | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | Multivariate Verteilung | Multivariate distribution | Wirkungsanalyse | Impact assessment | Börsenkurs | Share price | USA | United States | ARCH-Modell | ARCH model | Schätzung | Estimation |
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