The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic
Yi Zhang, Long Zhou, Yajiao Chen, Fang Liu
| Year of publication: |
2022
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| Authors: | Zhang, Yi ; Zhou, Long ; Chen, Yajiao ; Liu, Fang |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 61.2022, p. 1-13
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| Subject: | Jump contagion | Market jump | Nonparametric approach | Threshold autoregressive models | Coronavirus | Volatilität | Volatility | Ansteckungseffekt | Contagion effect | Aktienmarkt | Stock market | Asien | Asia | Börsenkurs | Share price | Nichtparametrisches Verfahren | Nonparametric statistics | Finanzkrise | Financial crisis | Stochastischer Prozess | Stochastic process | Autokorrelation | Autocorrelation | Epidemie | Epidemic | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2022.101688 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013449345