COVID-19 Pandemic and Financial Contagion

Julien Chevallier (jpchevallier@gmail.com)
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Julien Chevallier: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis

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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-Infective-Removed (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.

Date: 2020-12
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Citations: View citations in EconPapers (4)

Published in Journal of Risk and Financial Management, 2020, 13 (12), pp.309. ⟨10.3390/jrfm13120309⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-04250255

DOI: 10.3390/jrfm13120309

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