Nguyen, Canh Phuc; Su, Thanh Dinh; Wongchoti, Udomsak; … - In: Studies in Economics and Finance 37 (2020) 3, pp. 513-543
model or DCC MGARCH) to examine the potential existence of the spillover from the uncertainty of the USA to EU stock markets …. Findings: The increases in US uncertainty have significant negative impacts on all EU stock returns, whereas only the increases … (State 1), the increases in the EPU of the USA and EU have significant negative impacts on EU stock returns in most cases …