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

Nikolaos Antonakakis, Ioannis Chatziantoniou, G. Filis

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)87-92
Number of pages6
JournalEconomics Letters
Volume120
Issue number1
DOIs
Publication statusPublished - 9 Apr 2013

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