Autori: Canepa, Alessandra , Zanetti Chini, Emilio , Alqaralleh, Huthaifa
Titolo: Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach.
Periodico: Università degli studi di Torino. Dip. Di Economia e Statistica Cognetti de Martiis. Working paper series
Anno: 2021 - Volume: 2 - Fascicolo: 10 - Pagina iniziale: 1 - Pagina finale: 26

In this study we examine the impact of the Covid-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a novel wavelet-copula-GARCH procedure to account for both the time and frequency domain of stock market correlation. We find evidence of contagion in the stock markets under consideration during the Covid-19 pandemic


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Testo completo: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2021dip/wp_10_2021.pdf

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