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.
| Original language | English |
|---|---|
| Pages (from-to) | 87 - 92 |
| Journal | Economics Letters |
| Volume | 120 |
| Issue number | 1 |
| Publication status | Published - 1 Oct 2013 |
Austrian Classification of Fields of Science and Technology (ÖFOS)
- 502010 Public finance