Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions

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Year of publication:	2014
Authors:	Antonakakis, Nikolaos
Other Persons:	Chatziantoniou, Ioannis (contributor) ; Filis, George N. (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Aktienmarkt \| Stock market \| Kapitaleinkommen \| Capital income \| Risiko \| Risk \| Börsenkurs \| Share price
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 120, No. 1, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2013 erstellt Volltext nicht verfügbar
Classification:	C32 - Time-Series Models ; E60 - Macroeconomic Policy Formation, Macroeconomic Aspects of Public Finance, Macroeconomic Policy, and General Outlook. General ; E66 - General Outlook and Conditions ; G10 - General Financial Markets. General ; G18 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013058577