Nexus Between Travel & Leisure Stocks and Uncertainties: An Extreme Risk Spillover Analysis
The paper examines the presence of risk spillover to the US travel & leisure industry from the extreme changes in the uncertainties. More specifically, using a time-varying copula based conditional Value-at-Risk (CoVaR) framework, we evaluate the dynamic impact of the uncertainties on the extrem...
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| Format: | Article |
| Language: | English |
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Pompea College of Business
2023-05-01
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| Series: | American Business Review |
| Subjects: | |
| Online Access: | https://digitalcommons.newhaven.edu/americanbusinessreview/vol26/iss1/12/ |