Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

C-Tier

Journal: Economics Letters

Year: 2013

Volume: 120

Issue: 1

Pages: 87-92

Authors (3)

Antonakakis, Nikolaos (University of Nicosia) Chatziantoniou, Ioannis (not in RePEc) Filis, George (Panteion University of Social)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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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.

Dynamic co-movements of stock market returns, implied volatility and policy uncertainty

Authors (3)

Abstract

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