exchange market), namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties …

This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index …

commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly … introduction of the euro and resulting in lower long-run uncertainty. It also appears that the direction of causality has been …