The impact of COVID-19 induced panic on stock market returns: A two-year experience.

Econ Anal Policy · 2022 · PMC9616487 · PMID 36337176

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highly significantno p-value reported

At the multivariate level, we find that both the parameters related to persistence ( α A D C C and β A D C C ) and those of skewness ( ξ A D C C ) and shape ( ν A D C C ) are highly significant, indicating that the process properly captures both the connectedness in the mid-range of the dependence distribution and in the tails of the multivariate distribution, also considering the existing jumps.

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