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Canadian stock market volatility under COVID-19

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xu_wp_2020_0.pdf (151.25 KB)

Date

2020

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University of Waterloo

Abstract

This paper focuses on investigating the impacts of the novel coronavirus (COVID-19) on the Canadian stock market volatility from a time-varying parameter volatility model point of view.

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Keywords

COVID-19, Canadian S&P/TSX composite index, volatility structural break, time-varying parameter model, news impact curve

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URI

https://hdl.handle.net/10012/23704

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Waterloo Research