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Keywords: DCC-GARCH
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Journal Articles
You sneeze, and the markets are paranoid: the fear, uncertainty and distress sentiments impact of the COVID-19 pandemic on the stock–bond correlation
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2022) 23 (5): 652–668.
Published: 28 September 2022
... the time-varying correlation estimated using the autoregressive moving average -dynamic conditional correlation - generalised autoregressive conditional heteroskedasticity (ARMA-DCC-GARCH) model to achieve this aim. The impact of investor sentiment on the stock–bond correlation was analysed using...
