Risk aversion connectedness in developed and emerging equity markets before and after the COVID-19 pandemic
This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology. The empirical results indicate that the total spillover index is on average 65.6%, i...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-12-01
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| Series: | Heliyon |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020325585 |