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Can I read Uncertainty Due to Infectious Diseases and Stock–Bond Correlation on EtoBox?
Uncertainty Due to Infectious Diseases and Stock–Bond Correlation by Konstantinos Gkillas; Christoforos Konstantatos; Costas Siriopoulos is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Uncertainty Due to Infectious Diseases and Stock–Bond Correlation about?
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 causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.
Who reads Uncertainty Due to Infectious Diseases and Stock–Bond Correlation?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Konstantinos Gkillas; Christoforos Konstantatos; Costas Siriopoulos
- Publisher
- MDPI AG
- Published
- 2021
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)
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