Macro‐financial linkages in the high‐frequency domain: Economic fundamentals and the Covid‐induced uncertainty channel in US and UK financial markets

This article contributes to our understanding of the macro‐financial linkages in the high‐frequency domain during the recent health crisis. Building on the extant literature that mainly uses monthly or quarterly macro proxies, we examine the daily economic impact on intra‐daily financial volatility...

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Veröffentlicht in:	International journal of finance and economics 2024-04, Vol.29 (2), p.1581-1608
Hauptverfasser:	Caporale, Guglielmo Maria, Karanasos, Menelaos, Yfanti, Stavroula
Format:	Artikel
Sprache:	eng
Schlagworte:	Covid‐19 crisis economic policy uncertainty macro‐financial linkages realized variance risk management Volatility
Online-Zugang:	Volltext
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