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 …-MIDAS approach to connect low-frequency GEPU data and high-frequency stock data, assuming that GEPU affects stock volatility via the … long-run component of total volatility. We not only use DM and SPA tests to statically evaluate the out …