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COVID-19 contagion and digital finance

Arianna Agosto and Paolo Giudici ()

Digital Finance, 2020, vol. 2, issue 1, No 9, 159-167

Abstract: Abstract Digital finance is going to be heavily affected by the COVID-19 outbreak. We present a statistical model which can be employed to understand the contagion dynamics of the COVID-19, so that its impact on finance can possibly be anticipated, and digitally monitored. The model is a Poisson autoregression of the daily new observed cases, and considers both short-term and long-term dependence in the infections counts. Model results are presented for the observed time series of China, the first affected country, but can be easily reproduced for all countries.

Keywords: Contagion monitoring; Poisson autoregressive models; Financial crisis (search for similar items in EconPapers)
JEL-codes: C11 C15 C51 C52 C55 C58 G01 G12 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00021-3

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DOI: 10.1007/s42521-020-00021-3

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