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Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic : does economic policy uncertainty matter?

Youssef, Manel; Mokni, Khaled; Ajmi, Ahdi Noomen - In: Financial innovation : FIN 7 (2021), pp. 1-27

This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR)...

Persistent link: https://www.econbiz.de/10012495004

Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models

Kielmann, Julia; Manner, Hans; Min, Aleksey - 2021

Persistent link: https://www.econbiz.de/10012503368

Pricing of risk and volatility dynamics on an emerging stock market : evidence from both aggregate and disaggregate data

Khan, Faisal; Ur Rehman, Saif; Khan, Hashim; Xu, Tie - In: Economic research 29 (2016) 1, pp. 799-815

Persistent link: https://www.econbiz.de/10012222011

International economic policy uncertainty and stock market returns of Bangladesh: evidence from linear and nonlinear model

Uddin, Md Akther; Mohammad Enamul Hoque; Ali, Md Hakim - In: Quantitative finance and economics 4 (2020) 2, pp. 236-251

Persistent link: https://www.econbiz.de/10012271366

Stock and bond returns correlation in Korea : local versus global risk during crisis periods

Park, Keehwan; Fang, Zhongzheng; Ha, Young Ho - In: Journal of Asian economics 65 (2019), pp. 1-18

Persistent link: https://www.econbiz.de/10012257798

Economic policy uncertainty spillover effects on sectoral equity returns of New Zealand

Balli, Faruk; Balli, Hatice Ozer; Hasan, Mudassar; … - In: Journal of economics and finance : JEF 44 (2020) 4, pp. 670-686

Persistent link: https://www.econbiz.de/10012297018

The interactive relationship between the US economic policy uncertainty and BRIC stock markets

In: International economics : a journal published by CEPII … 146 (2016), pp. 141-157

Persistent link: https://www.econbiz.de/10011623546

Management forecasts, idiosyncratic risk, and the information environment

Kitagawa, Norio; Okuda, Shin'ya - In: The international journal of accounting : TIJA 51 (2016) 4, pp. 487-503

Persistent link: https://www.econbiz.de/10011630547

Stock volatility, return jumps and uncertainty shocks during the Great Depression

Mathy, Gabriel P. - In: Financial history review 23 (2016) 2, pp. 165-192

Persistent link: https://www.econbiz.de/10011585594

Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275

Persistent link: https://www.econbiz.de/10011642172