The role of the political cycle in the relationship between economic policy uncertainty and the long-run volatility of industry-level stock returns in the United States
Year of publication: |
2018
|
---|---|
Authors: | Yu, Honghai ; Fang, Libing ; Zhang, Sunqi ; Du, Donglei |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 50.2018, 26, p. 2932-2937
|
Subject: | EPU | GARCH-MIDAS | Industry beta | MIDAS regression | USA | United States | Kapitaleinkommen | Capital income | Volatilität | Volatility | Wirtschaftspolitik | Economic policy | Börsenkurs | Share price | Betafaktor | Beta risk |
-
Razmi, Seyedeh Fatemeh, (2020)
-
Learning from prices and the dispersion in beliefs
Banerjee, Snehal, (2011)
-
Information and opinions in financial markets
Banerjee, Snehal, (2007)
- More ...
-
Risk contribution of the Chinese stock market to developed markets in the post-crisis period
Yu, Honghai, (2018)
-
Risk contribution of crude oil to industry stock returns
Yu, Honghai, (2018)
-
How EPU drives long-term industry beta
Yu, Honghai, (2017)
- More ...