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 investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on … negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price … uncertainty appears to be insignificant during periods with precautionary demand shocks …

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on … negative response to oil price uncertainty during periods with supply-side shocks instead. By contrast, the impact of oil price … uncertainty appears to be insignificant during periods with precautionary demand shocks …

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

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 …

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 …

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

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity … exchange rate uncertainty on equity flows is negative in the euro area, the UK and Sweden, and positive in Australia, whilst it … is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …