When are the effects of economic policy uncertainty on oil-stock correlations larger? : evidence from a regime-switching analysis
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 | Volatilität | Volatility | Börsenkurs | Share price | Wirkungsanalyse | Impact assessment | Aktienmarkt | Ölpreis | Oil price | Risiko | Risk | Korrelation | Correlation | Schätzung | Estimation |
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