Dynamic connectedness between stock markets in the presence of the COVID-19 pandemic: does economic policy uncertainty matter?
Abstract This study investigates the dynamic connectedness between stock indices and the effect of economic policy uncertainty (EPU) in eight countries where COVID-19 was most widespread (China, Italy, France, Germany, Spain, Russia, the US, and the UK) by implementing the time-varying VAR (TVP-VAR)...
Main Authors: | Manel Youssef, Khaled Mokni, Ahdi Noomen Ajmi |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2021-03-01
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Series: | Financial Innovation |
Subjects: | |
Online Access: | https://doi.org/10.1186/s40854-021-00227-3 |
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