Covid-19 Pandemic and Financial Contagion

摘要

The original contribution of this paper is to empirically document the contagion of theCovid-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), andrisk-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 foreststhat crunch the data on confirmed, deaths, and recovered Covid-19 cases and then tie them tohigh-frequency data for 31 stock markets.