Economic policy uncertainty and stock market volatility
Author:
Funder
National Science Foundation of China
Publisher
Elsevier BV
Subject
Finance
Reference24 articles.
1. Resolution of policy uncertainty and sudden declines in volatility;Amengual;Chicago Booth Research Paper,2014
2. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;Int. Econ. Rev.,1998
3. Roughing it up: including jump components in the measurement, modeling, and forecasting of return volatility;Andersen;The Rev. Econ. Stat.,2007
4. Dynamic co-movements of stock market returns, implied volatility and policy uncertainty;Antonakakis;Econ. Lett.,2013
5. Effects of macroeconomic uncertainty on the stock and bond markets;Asgharian;Finance Res. Lett.,2015
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