When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis
Zhenhua Liu, Huiying Zhang, Zhihua Ding, Tao Lv, Xu Wang, Deqing Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Liu, Zhenhua ; Zhang, Huiying ; Ding, Zhihua ; Lv, Tao ; Wang, Xu ; Wang, Deqing |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 114.2022, p. 1-17
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| Subject: | DCC-MIDAS model | Economic policy uncertainty | Oil market | Regime-switching | Stock market | Wirtschaftspolitik | Economic policy | Risiko | Risk | Aktienmarkt | Volatilität | Volatility | Wirkungsanalyse | Impact assessment | Börsenkurs | Share price | Schätzung | Estimation | Welt | World | Ölmarkt | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2022.105941 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367585