Time-varying Granger causality between the stock market and unemployment in the United States
Author:
Affiliation:
1. Université de Lorraine / CEREFIGE, Nancy-Metz, France / DEM, Luxembourg
Funder
ARIANE CPER
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/13504851.2021.1987378
Reference36 articles.
1. Tests for Parameter Instability and Structural Change With Unknown Change Point
2. Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
3. Testing for cointegration with threshold effect between unemployment and stock prices
4. Unemployment and Credit Risk
5. The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
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