Economic policy uncertainty as an indicator of abrupt movements in the US stock market
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DOI: 10.1016/j.qref.2024.01.002
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More about this item
Keywords
Economic policy uncertainty; Stock market; Regime switching model;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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