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This study investigates the impact of the Russian-Ukraine war on the tail risk connectedness among G7 stock markets using a TVP-VAR frequency connectedness approach and a number of robustness testing procedures. Such work focuses on the dynamics of tail risk connectedness both during the...
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In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ratios, results indicate that the CSI300 spot index presents decreased...
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In the midst of the 2020 global COVID-2019 pandemic and subsequent financial market collapse, corporate entities have to navigate a number of truly unforeseen contagion risks. However, one such group included those who shared their corporate identity with aspects of the rapidly evolving...
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This paper investigates the dynamic behaviour of the volatility connectedness of COVID-19related stock indices on Chinese tourism sub-sectors using a novel TVP-VAR frequency approach of Chatziantoniou et al. [2021]. Our empirical results show that COVID-19 affects all six examined tourism...
Persistent link: https://www.econbiz.de/10014257198