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The interactive relationship between the US economic policy uncertainty and BRIC stock markets
16 references·16 citing·26 second hopsampled
The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)The interactive relationship between the …Political uncertainty and risk premia (2013)Political uncertainty and ris…Uncertainty about Government Policy and Stock Prices (2012)Uncertainty about Government …The Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Irreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecas…Time Series Analysis Forecasting and Control. (1971)Time Series Analysis Forecast…How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages? (2024)How would the war and the pan…ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS (2022)ON THE RELATIONSHIP BETWEEN E…Does Economic Policy Uncertainty Affect Green Bond Markets? Evidence from Wavelet-Based Quantile Analysis (2022)Does Economic Policy Uncertai…Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach (2021)Monetary policy uncertainty a…On the effect of credit rating announcements on sovereign bonds: International evidence (2020)On the effect of credit ratin…Economic policy uncertainty and the Bitcoin-US stock nexus (2020)Economic policy uncertainty a…Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis (2020)Economic Policy Uncertainty a…Does economic policy uncertainty in the U.S. influence stock markets in China and India? Time-frequency evidence (2020)Does economic policy uncertai…U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model (2019)U.S. uncertainty and Asian st…The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging (2019)The effect of economic policy…Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks (2018)Is U.S. economic policy uncer…International economic policy uncertainty and stock prices revisited: Multiple and Partial wavelet approach (2018)International economic policy…The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets (2017)The effect of economic policy…Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production (2017)Oil price shocks and policy u…Can economic policy uncertainty and investors sentiment predict commodities returns and volatility? (2017)Can economic policy uncertain…Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach (2016)Impact of US uncertainties on…A Monetary History of the United States 1867-1960 (1964)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Understanding business cycles (1977)The Value of Waiting to Invest (1982)Policy Uncertainty and Corporate Investment (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Expected stock returns and volatility (1987)The Cross‐Section of Volatility and Expected Returns (2006)Econometric Analysis of Cross Section and Panel Data (2001)Some recent development in a concept of causality (1988)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1977Time Series Analysis: Forecasting and Control19,200 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1971Time Series Analysis Forecasting and Control.6,714 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
  • 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 2013Political uncertainty and risk premia2,375 cited
  • 2012Uncertainty about Government Policy and Stock Prices2,327 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 2007

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Modelling Financial Time Series
1,415 cited

Cited by

  • 2017Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production171 cited
  • 2017Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?148 cited
  • 2019The effect of economic policy uncertainty on stock-commodity correlations and its implications on optimal hedging124 cited
  • 2017The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets119 cited
  • 2022ON THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY, GEOPOLITICAL RISK AND STOCK MARKET RETURNS IN SOUTH KOREA: A QUANTILE CAUSALITY ANALYSIS119 cited
  • 2018International economic policy uncertainty and stock prices revisited: Multiple and Partial wavelet approach113 cited
  • 2019U.S. uncertainty and Asian stock prices: Evidence from the asymmetric NARDL model103 cited
  • 2016Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach100 cited
  • 2020Economic policy uncertainty and the Bitcoin-US stock nexus91 cited
  • 2018Is U.S. economic policy uncertainty priced in China's A-shares market? Evidence from market, industry, and individual stocks86 cited
  • 2021Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach83 cited
  • 2020Economic Policy Uncertainty and Stock Returns of Africa: A Wavelet Coherence Analysis82 cited
  • 2020Does economic policy uncertainty in the U.S. influence stock markets in China and India? Time-frequency evidence74 cited
  • 2022Does Economic Policy Uncertainty Affect Green Bond Markets? Evidence from Wavelet-Based Quantile Analysis65 cited
  • 2020On the effect of credit rating announcements on sovereign bonds: International evidence37 cited
  • 2024How would the war and the pandemic affect the stock and cryptocurrency cross-market linkages?31 cited