The contribution of Economic Policy Uncertainty to the persistence of shocks to stock market volatility
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More about this item
Keywords
Economic Policy Uncertainty; Stock Market Volatility; Persistence; Half-Life;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2021-11-29 (Central and Western Asia)
- NEP-FMK-2021-11-29 (Financial Markets)
- NEP-MAC-2021-11-29 (Macroeconomics)
- NEP-RMG-2021-11-29 (Risk Management)
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