The effect of US economic policy uncertainty on market risk of international crude oil and the portfolio strategy
Author:
Affiliation:
1. Research Center for Geological Resource Economics and Management, East China University of Technology, Nanchang, China
2. School of Economics and Management, East China University of Technology, Nanchang, China
Funder
National Natural Science Foundation of China
Key Research Base Project of Humanities and Social Sciences in Universities of Jiangxi Province
Key Research Base Project of Jiangxi Provincial Philosophy and Social Science
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2022.2142639
Reference47 articles.
1. Adrian, T. & Brunnermeier, M. K. (2011). CoVaR (No. w17454). National Bureau of Economic Research.
2. Does the U.S. economic policy uncertainty connect financial markets? Evidence from oil and commodity currencies
3. Coherent Measures of Risk
4. The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-frequency Markov-switching Vector Autoregressive Approach
5. Interconnectedness among commodities, the real sector of Ghana and external shocks
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