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Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach

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In this study we examine the impact of the Covid-19 pandemic on stock market contagion. Empirical analysis is conducted on six major stock markets using a novel wavelet-copula-GARCH procedure to account for both the time and frequency domain of stock market correlation. We find evidence of contagion in the stock markets under consideration during the Covid-19 pandemic

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  • Alqaralleh, Huthaifa & Canepa, Alessandra & Chini, Zanetti, 2021. "Financial Contagion During the Covid-19 Pandemic: A Wavelet-Copula-GARCH Approach," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202110, University of Turin.
    • Handle: RePEc:uto:dipeco:202110
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