Tail connectedness between category-specific policy uncertainty, sovereign debt risk, and stock volatility during a high inflation period
Yong Jiang, Nassar S. Al-Nassar, Yi-Shuai Ren, Chao-Qun Ma, Xiao-Guang Yang
| Year of publication: |
2024
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|---|---|
| Authors: | Jiang, Yong ; Al-Nassar, Nassar S. ; Ren, Yi-Shuai ; Ma, Chao-Qun ; Yang, Xiao-Guang |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 2165501-7. - Vol. 70.2024, 2, Art.-No. 102398, p. 1-19
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| Subject: | Category-specific policy uncertainty | High inflation | Quantile VAR model | Sovereign debt risk | Stock volatility | Tail connectedness | Inflation | Volatilität | Volatility | VAR-Modell | VAR model | Öffentliche Schulden | Public debt | Risiko | Risk | Börsenkurs | Share price | Länderrisiko | Country risk | Welt | World | Kapitaleinkommen | Capital income | Kapitalmarktrendite | Capital market returns |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2024.102398 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015056938