Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis
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DOI: 10.1016/j.frl.2020.101783
Abstract: This study investigates the impact of economic uncertainty due to the coronavirus (COVID-19) pandemic on the industrial economy in the US in terms of the interdependence and causality relationship. We apply wavelet coherence analysis to… read more here.
Keywords: uncertainty due; volatility; wavelet coherence; covid pandemic ... See more keywords
Uncertainty Due to Infectious Diseases and Stock–Bond Correlation
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DOI: 10.3390/econometrics9020017
Abstract: We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger… read more here.
Keywords: uncertainty due; correlation; stock bond; uncertainty ... See more keywords