Ahmed, Walid M. A.; Sleem, Mohamed A. E. - In: Cogent economics & finance 10 (2022) 1, pp. 1-30
Like no other calamitous event in recent memory, the COVID-19 pandemic has plunged the world’s financial system into disarray, triggering systemic risk spillovers across markets. In this study, we use 5-minute index futures price data to examine the multiscale interdependence structure of...
