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 (ÖSTAT Classification 'Statistik Austria')
- 5300 Economics (Details)
- 5311 Public finance (Details)