Covid-19 Pandemic and Financial Contagion

Julien Chevallier

No 2021-001, Working Papers from Department of Research, Ipag Business School

Abstract: The original contribution of this paper is to empirically document the contagion of the Covid-19 on financial markets. We merge databases from Johns Hopkins Coronavirus Center, Oxford-Man Institute Realized Library, NYU Volatility Lab, and St-Louis Federal Reserve Board. We deploy three types of models throughout our experiments: (i) the Susceptible-InfectiveRemoved (SIR) that predicts the infections? peak on 2020-03-27; (ii) volatility (GARCH), correlation (DCC), and risk-management (Value-at-Risk (VaR)) models that relate how bears painted Wall Street red; and, (iii) data-science trees algorithms with forward prunning, mosaic plots, and Pythagorean forests that crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them to high-frequency data for 31 stock markets.

Keywords: Covid-19; financial contagion; Johns Hopkins repository; Susceptible-InfectiveRemoved model; tree algorithm; data science (search for similar items in EconPapers)
Pages: 32 pages
Date: 2021-01-01
New Economics Papers: this item is included in nep-ban
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Journal Article: COVID-19 Pandemic and Financial Contagion (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ipg:wpaper:2021-001

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