Article ID Journal Published Year Pages File Type
5059636 Economics Letters 2013 13 Pages PDF
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.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Dynamic co-movements of stock market returns, implied volatility and policy uncertainty
Authors
, , ,