Yu, Xiaoling; Huang, Yirong; Xiao, Kaitian - In: Journal of applied economics 24 (2021) 1, pp. 416-440
We investigate the impact of the global economic policy uncertainty (GEPU) on stock volatility for nine emerging economies (Brazil, Russia, India, China, South Africa, Mexico, Indonesia, South Korea, and Turkey). We employ an expanded GARCH-MIDAS approach to connect low-frequency GEPU data and...