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Preventing crash in stock market: The role of economic policy uncertainty during COVID-19
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the...
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| Publicado no: | Financ Innov |
|---|---|
| Main Authors: | , , , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Springer Berlin Heidelberg
2021
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8079234/ https://ncbi.nlm.nih.gov/pubmed/35024279 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1186/s40854-021-00248-y |
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