The role of global economic policy uncertainty in long-run volatilities and correlations of U.S. industry-level stock returns and crude oil

We investigate how Global Economic Policy Uncertainty (GEPU) drives the long-run components of volatilities and correlations in crude oil and U.S. industry-level stock markets. Using the modified generalized autoregressive conditional heteroskedasticity mixed data sampling (GARCH-MIDAS) and dynamic...

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Detalles Bibliográficos
Autores principales: Yu, Honghai, Fang, Libing, Sun, Boyang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2018
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5805266/
https://www.ncbi.nlm.nih.gov/pubmed/29420645
http://dx.doi.org/10.1371/journal.pone.0192305

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5805266/
https://www.ncbi.nlm.nih.gov/pubmed/29420645
http://dx.doi.org/10.1371/journal.pone.0192305

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