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

Nikolaos Antonakakis; Ioannis Chatziantoniou; G. Filis

doi:10.1016/j.econlet.2013.04.004

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

Nikolaos Antonakakis, Ioannis Chatziantoniou, G. Filis

Research output: Contribution to journal › Article › peer-review

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
Number of pages	6
Journal	Economics Letters
Volume	120
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2013.04.004
Publication status	Published - 9 Apr 2013

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http://dx.doi.org/10.1016/j.econlet.2013.04.004

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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.",

author = "Nikolaos Antonakakis and Ioannis Chatziantoniou and G. Filis",

year = "2013",

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AU - Filis, G.

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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.

AB - 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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DO - 10.1016/j.econlet.2013.04.004

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SP - 87

EP - 92

JO - Economics Letters

JF - Economics Letters

IS - 1

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

Abstract

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