Does the macroeconomy matter to market volatility? : evidence from US industries
Year of publication: |
2021
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Authors: | Wu, Zhang ; Chong, Terence Tai-Leung |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 61.2021, 6, p. 2931-2962
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Subject: | GARCH-MIDAS | Stock market volatility | Macroeconomic condition | Industry level | Quantitative easing | Volatilität | Volatility | USA | United States | Aktienmarkt | Stock market | Börsenkurs | Share price | Konjunktur | Business cycle | Wirkungsanalyse | Impact assessment |
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