Template-type: ReDIF-Paper 1.0
Author-Name: Alqaralleh, Huthaifa
Author-Email: huthaifa89@mutah.edu.jo.
Author-Name: Canepa, Alessandra 
Author-Email: alessandra.canepa@unito.it.
Author-Name: Chini, Zanetti  
Author-Email: emilio.zanettichini@uniroma1.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach.
Abstract: 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
Length: pages 26
Creation-Date: 2021-03
File-URL: https://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2021dip/wp_10_2021.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:202110