Can infectious disease pandemic impact the long-term volatility and correlation of gold and crude oil markets?

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

Business, Economics, Finance +17

The Unprecedented Stock Market Reaction to COVID-19

Scott Baker, Nicholas Bloom, Steven J. Davis et al. · The Review of Asset Pricing Studies · 2020 · 1.5K citations · Full text

Social Sciences, Economics, Infectious Diseases +12

Stock Market Volatility and Macroeconomic Fundamentals

Robert F. Engle, Éric Ghysels, Bumjean Sohn · The Review of Economics and Statistics · 2012 · 1.1K citations

Business, Economics, Finance +17

Return connectedness across asset classes around the COVID-19 outbreak

Elie Bouri, Oğuzhan Çepni, David Gabauer et al. · International Review of Financial Analysis · 2020 · 610 citations

Social Sciences, Economics, Risk Management +6

A component model for dynamic correlations

Robert F. Engle, Riccardo Colacito, Éric Ghysels · The Faculty Digital Archive (New York University) · 2009 · 308 citations · Full text

Social Sciences, Economics, Finance +17