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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

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