Youssef, Manel; Mokni, Khaled; Ajmi, Ahdi Noomen - In: Financial Innovation 7 (2021) 1, pp. 1-27
This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR)...