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The comparison of the Australian sectoral volatility spillover between the pre-and during the Covid-19 pandemic.
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posted on 2023-06-01, 17:29 authored by Duc Hong VoNotes: Blue (yellow) nodes illustrate the net transmitter (receiver) of shocks. Vertices are weighted by the averaged net pairwise directional connectedness measures. The size of the nodes represents the weighted average net total directional connectedness.
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findings also indicate60 per cent300 per centreal estates real estate health care consumer staples div >< psignificant risk transmitterssignificant risk absorbersaustralia psectoral volatility using19 pandemic using19 pandemicindustrials financials pandemic levelsignificant increasewavelet methodologyvar frameworkpaper estimatesmarket volatilityidentify breakpointsgarch modelextreme eventsextensively investigatedcurrent literaturebased analysis
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