EPU spillovers and stock return predictability : a cross-country study
Year of publication: |
2022
|
---|---|
Authors: | Gong, Yuting ; He, Zhongzhi ; Xue, Wenjun |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 78.2022, p. 1-29
|
Subject: | Economic policy uncertainty (EPU) | EPU spillovers | Expected probability in distress (EPD) | High-dimensional factor copula | Interconnectedness of global markets | International stock market returns | Spillover-Effekt | Spillover effect | Kapitaleinkommen | Capital income | Welt | World | Schätzung | Estimation | Aktienmarkt | Stock market | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns |
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