Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach.
The COVID-19 pandemic and its impact on crude oil prices created additional risks throughout the financial industry. To contribute to the ongoing debates, this paper empirically examined the risk contagion of COVID-19 to oil prices by incorporating a Markov-Switching GARCH (MS-GARCH) framework and t...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2024-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0312718 |
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