Economic activity, and financial and commodity markets’ shocks: an analysis of implied volatility indexes

This paper examines the dynamic short- and long-run asymmetric interactions and causality between real economic activity and stock and gold markets volatility shocks using both the cointegration Nonlinear Autoregressive Distributed Lag and Granger causality tests. In a further analysis, we used both...

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Autores:
Tipo de recurso:
Article of investigation
Fecha de publicación:
2020
Institución:
Universidad de Bogotá Jorge Tadeo Lozano
Repositorio:
Expeditio: repositorio UTadeo
Idioma:
eng
OAI Identifier:
oai:expeditiorepositorio.utadeo.edu.co:20.500.12010/16430
Acceso en línea:
https://doi.org/10.1016/j.inteco.2020.11.005
http://hdl.handle.net/20.500.12010/16430
Palabra clave:
Economic Activity
Energy Market
Stock Market
Asymmetric Shocks
NARDL
Connectedness
Síndrome respiratorio agudo grave
COVID-19
SARS-CoV-2
Coronavirus
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Abierto (Texto Completo)