Reconstruction and dynamic dependence analysis of global economic policy uncertainty
In this paper, we use a generalized dynamic factor model to reconstruct the global economic policy uncertainty index developed by Davis (2016), and we investigate the dynamic dependence structure between global and national economic policy uncertainty using the time-varying copula approach. Based on...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2019-09-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2019.3.550/fulltext.html |