This study examines the relationship between excess return volatility and economic policy uncertainty in U.S using … return volatility and economic policy uncertainty. The casualty test indicates that economic policy uncertainty Granger …-causes excess return volatility. The vector error correction model result shows that previous values of economic policy uncertainty …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …This study investigates the impact of uncertainty on the mean-variance relationship. We find that the stock market …’s expected excess return is positively related to the market’s conditional variances and implied variance during low uncertainty …

commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to …

This study investigates the short- and long-term effects of various sources of uncertainty on the share prices of key … other relevant approaches to time series. Economic policy, climate policy, pandemics, and Twitter-based uncertainty may … China, geopolitical, climatic, and pandemic uncertainty are short-term sources of uncertainty, and in India, economic policy …

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …

administrators and portfolio managers can defend themselves against exchange risk by using forward contracts, particularly in world …The paper examines the effect of exchange rate risk on the conditional relationship between beta risk and return in … against exchange rate risk. However, when this risk is controlled and hedged with forward contracts, theconditional …