Economic Policy Uncertainty and Stock Markets: A Multifractal Cross-Correlations Analysis

Jiang, W; Li, JF; Sun, GL

Sun, GL (corresponding author), Nanjing Univ Finance & Econ, Sch Finance, Nanjing 210023, Peoples R China.

FLUCTUATION AND NOISE LETTERS, 2021; 20 (2):

Abstract

We utilize the multifractal detrended cross-correlation analysis (MF-DCCA) to investigate the cross-correlations between the US economic policy uncert......

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