How does economic policy uncertainty comove with stock markets: new evidence from symmetric thermal optimal path method

DOI10.1016/J.PHYSA.2022.127745OpenAlexW4283008451WikidataQ114142291 ScholiaQ114142291MaRDI QIDQ2170576

Yan-Hong Yang, Ying-Hui Shao, Wei-Xing Zhou

Publication date: 6 September 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.04421

zbMATH Keywords

stock marketlead-lag relationshipeconomic policy uncertaintysymmetric thermal optimal path

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• International economic policy uncertainty and stock prices revisited: multiple and partial wavelet approach
• Non-parametric determination of real-time lag structure between two time series: the ‘optimal thermal causal path’ method
• Symmetric thermal optimal path and time-dependent lead-lag relationship: novel statistical tests and application to UK and US real-estate and monetary policies

This page was built for publication: How does economic policy uncertainty comove with stock markets: new evidence from symmetric thermal optimal path method