Antonakakis, Nikolaos, Chatziantoniou, Ioannis, Filis, George. 2013. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty. Economics Letters 120 (1): 87-92.
BibTeX
Abstract
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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Status of publication | Published |
---|---|
Affiliation | WU |
Type of publication | Journal article |
Journal | Economics Letters |
Citation Index | SSCI |
WU Journalrating 2009 | A |
WU-Journal-Rating new | FIN-A, STRAT-B, VW-B, WH-B |
Language | English |
Title | Dynamic co-movements of stock market returns, implied volatility and policy uncertainty |
Volume | 120 |
Number | 1 |
Year | 2013 |
Page from | 87 |
Page to | 92 |
Reviewed? | Y |
URL | http://www.sciencedirect.com/science/article/pii/S0165176513001754 |
Associations
- People
- Antonakakis, Nikolaos (Former researcher)
- External
- Chatziantoniou, Ioannis (University of Portsmouth, United Kingdom)
- Filis, George (Bournemouth University, United Kingdom)
- Organization
- Department of Economics (Badinger) (Details)
- Department of Economics DP (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5300 Economics (Details)
- 5311 Public finance (Details)