About: The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach

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An Entity of Type : schema:ScholarlyArticle, within Data Space : wasabi.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
title	The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
Creator	Azimli, Asil
source	Elsevier; Medline; PMC
abstract	This paper examines the impact of the novel coronavirus (COVID-19) on the degree and structure of risk-return dependence in the US. The results from quantile regression (QR) indicate a left-tailed asymmetric dependence structure of sectoral returns with market portfolio. Following the COVID-19 outbreak, degree of dependence among returns and market portfolio have increased in the higher quantiles. Further, the outbreak has converted left-tailed dependence into a right-tailed dependence. Interaction among Google Search Index for coronavirus (GSIC) and returns also examined. Findings reveal an asymmetric GSIC-return dependence that is significant in tails.
has issue date	2020-06-25(xsd:dateTime)
bibo:doi	10.1016/j.frl.2020.101648
bibo:pmid	32837368
has license	no-cc
sha1sum (hex)	fb94b1df339236235d46906ee87e331b27a76694
schema:url	https://doi.org/10.1016/j.frl.2020.101648
resource representing a document's title	The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach
has PubMed Central identifier	PMC7315952
has PubMed identifier	32837368
schema:publication	Financ Res Lett
resource representing a document's body	covid:fb94b1df339236235d46906ee87e331b27a76694#body_text
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