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

Nikolaos Antonakakis; Ioannis Chatziantoniou; George Filis

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

Nikolaos Antonakakis, Ioannis Chatziantoniou, George Filis

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

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.

Originalsprache	Englisch
Seiten (von - bis)	87 - 92
Fachzeitschrift	Economics Letters
Jahrgang	120
Ausgabenummer	1
Publikationsstatus	Veröffentlicht - 1 Okt. 2013

Österreichische Systematik der Wissenschaftszweige (ÖFOS)

502010 Finanzwissenschaft

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Katalog der Universitätsbibliothek

Andere Dateien und Links

http://www.sciencedirect.com/science/article/pii/S0165176513001754

Zitat

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

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.",

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year = "2013",

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AU - Antonakakis, Nikolaos

AU - Chatziantoniou, Ioannis

AU - Filis, George

PY - 2013/10/1

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N2 - 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.

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UR - http://www.sciencedirect.com/science/article/pii/S0165176513001754

M3 - Journal article

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VL - 120

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EP - 92

JO - Economics Letters

JF - Economics Letters

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