Quotation 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.


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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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Publication's profile

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
Institute for International Economics IN (Details)
Department of Economics DP (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5311 Public finance (Details)
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