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

DOI10.1016/J.PHYSA.2022.127745MaRDI QIDQ2170576zbMATH OpenOpenAlexWikidataFDO

Authors Ying-Hui Shao, Yanhong Yang, 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

economic policy uncertaintylead-lag relationshipstock marketsymmetric thermal optimal path

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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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

Cited in

(1)

• scientific article; zbMATH DE number 7295824 (Why is no real title available?)

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