Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management
Keywords
Return-risk spillovers
Time-varying correlations
Hedging
Portfolio diversification
COVID-19
Travel and leisure
JEL classifications
G01
G11
C32
C58
Abbreviations
FEVD
Forecast Error Variance Decomposition
GFC
Global Financial Crisis
GDP
Gross Domestic Product
HEI
Hedging Effectiveness Index
TSI
Total Spillover Index
T&L
Travel and Leisure
WTTC
World Travel & Tourism Council
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