Dai, Peng-Fei; Xiong, Xiong; Liu, Zhifeng; Sun, Jianjun - In: Financial Innovation 7 (2021) 1, pp. 1-15
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show...