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Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets
Department Econ, Italy; IPAG Business Sch, France.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2017 (English)In: International Review of Finance, ISSN 1369-412X, E-ISSN 1468-2443, Vol. 17, no 1, p. 155-162Article in journal (Refereed) Published
Abstract [en]

We explore the impact of uncertainty on financial markets in the aftermath of the global financial crisis. In particular, we investigate the temporal dynamics of the dependence structure of stock, currency and oil markets in the United States using a nonparametric copula approach. Policy uncertainty is modeled via the EPU index of Baker et al. (2013). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty.

Place, publisher, year, edition, pages
WILEY , 2017. Vol. 17, no 1, p. 155-162
National Category
Business Administration
Identifiers
URN: urn:nbn:se:liu:diva-136617DOI: 10.1111/irfi.12095ISI: 000395452100007OAI: oai:DiVA.org:liu-136617DiVA, id: diva2:1089925
Note

Funding Agencies|EU Horizon research and innovation program under the MS-C Grant [656136]

Available from: 2017-04-21 Created: 2017-04-21 Last updated: 2017-04-21

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Uddin, Gazi Salah
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