Extreme dependence and spillovers between uncertainty indices and stock markets : does the US market play a major role?
Year of publication: |
2023
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Authors: | Mensi, Walid ; Kamal, Md Rajib ; Xuan Vinh Vo ; Kang, Sang Hoon |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 68.2023, p. 1-23
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Subject: | Quantiles | Spillovers | Stock markets | Uncertainty indices | Spillover-Effekt | Spillover effect | Aktienmarkt | Stock market | USA | United States | Risiko | Risk | Volatilität | Volatility | Wirtschaftsindikator | Economic indicator | Börsenkurs | Share price | Schätzung | Estimation | Theorie | Theory | Aktienindex | Stock index |
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