Ren, Yinghua; Wei, Tian; Zhao, Wanru; Tan, Anqi - 2023
The study examines the effect of economic policy uncertainty (EPU) on nonlinear risk spillover across 24 Chinese industry sectors over the period 2008-2022. We employ tail-event driven network method to measure nonlinear risk spillover of inter-industry and quantile-on-quantile regression to...