Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis-Reference-Cited by-同舟云学术

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Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis

Published:2022-11 Issue: Volume:63 Page:101843
ISSN:1062-9408
Container-title:The North American Journal of Economics and Finance
language:en
Short-container-title:The North American Journal of Economics and Finance

Author:

Qiao Xingzhi,Zhu Huiming,Zhang Zhongqingyang,Mao Weifang

Funder

National Natural Science Foundation of China

National Planning Office of Philosophy and Social Sciences

National Office for Philosophy and Social Sciences

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference61 articles.

1. Real estate returns predictability revisited: Novel evidence from the US REITs market;Akinsomi;Empirical Economics,2016

2. Refined measures of dynamic connectedness based on time-varying parameter vector autoregressions;Antonakakis;Journal of Risk and Financial Management,2020

3. World gold prices and stock returns in China: Insights for hedging and diversification strategies;Arouri;Economic Modelling,2015

4. The impact of COVID-19 news, panic and media coverage on the oil and gold prices: An ARDL approach;Atri;Resources Policy,2021

5. Investor sentiment and the cross-section of stock returns;Baker;The journal of Finance,2006

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