Chollete, Loran; Ismailescu, Iuliana; Lu, Ching-Chih - Handelshøgskolen, Universitetet i Stavanger - 2014
), and a unique industry dataset of Turbulence Indices. We examine dependence across the various measures of crises, as well … between turbulence in US equity and the real economy. However, there is strong evidence of two-way predictability up to two … weeks out for the US economy and global turbulence. A dynamic copula model indicates that the real economy and various …