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. (). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty.
Extreme Dependence under Uncertainty: An Application to Stock, Currency and Oil Markets
BEKIROS S;
2016-01-01
Abstract
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. (). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Extreme Dependence under Uncertainty.pdf
Accesso riservato
Tipo di file:
PDF EDITORIALE
Dimensione
416.22 kB
Formato
Adobe PDF
|
416.22 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
