Kang, Sang Hoon; Al Mamun, Md; Uddin, Gazi Salah; Yoon, … - 2023
We measure the return connectedness in US policy uncertainty, equity and commodity market between January 1990 to December 2015, with a specific focus on the net spillover transmission from one assets class to another asset class. Applying Diebold and Yilmaz (2012, 2014), we perform both static...