Jumps and stock market variance during the COVID-19 pandemic : Evidence from international stock markets
© 2022 Elsevier Inc. All rights reserved..
Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump components of the international equity indices are useful to predict the international stock markets' volatility during the COVID-19 pandemic. Our study tries to provide new evidence of jump components in stock markets.
| Medienart: |
E-Artikel |
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| Erscheinungsjahr: |
2022 |
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| Erschienen: |
2022 |
| Enthalten in: |
Zur Gesamtaufnahme - volume:48 |
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| Enthalten in: |
Finance research letters - 48(2022) vom: 01. Aug., Seite 102896 |
| Sprache: |
Englisch |
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| Beteiligte Personen: |
Zeng, Qing [VerfasserIn] |
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| Links: |
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| Themen: |
HAR model |
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| Anmerkungen: |
Date Revised 09.08.2022 published: Print-Electronic Citation Status PubMed-not-MEDLINE |
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| doi: |
10.1016/j.frl.2022.102896 |
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| funding: |
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| Förderinstitution / Projekttitel: |
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| 520 | |a © 2022 Elsevier Inc. All rights reserved. | ||
| 520 | |a Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump components of the international equity indices are useful to predict the international stock markets' volatility during the COVID-19 pandemic. Our study tries to provide new evidence of jump components in stock markets | ||
| 650 | 4 | |a Journal Article | |
| 650 | 4 | |a HAR model | |
| 650 | 4 | |a International stock markets | |
| 650 | 4 | |a Jump components | |
| 650 | 4 | |a The COVID-19 pandemic | |
| 650 | 4 | |a Volatility forecasting | |
| 700 | 1 | |a Lu, Xinjie |e verfasserin |4 aut | |
| 700 | 1 | |a Li, Tao |e verfasserin |4 aut | |
| 700 | 1 | |a Wu, Lan |e verfasserin |4 aut | |
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