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- W2564482643 abstract "Abstract Quantifying the dynamic interaction between economic policy uncertainty and financial stress is in its infancy. To identify the inherent relationship between them, this paper proposes a multi-scale correlation framework. Empirical results show that interaction occurs significantly and distinctly on different scales. Correlation is significant and fluctuates drastically in short-term fluctuation with unidirectional spillover effect from financial stress to economic policy uncertainty. Bidirectional spillover effects exist in the medium pattern with periodic correlation of two-regime characteristic. It helps for decision making to establish a proper timing reference to design a more reasonable arbitrage portfolio and improve risk-hedging strategies." @default.
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- W2564482643 date "2017-05-01" @default.
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- W2564482643 title "Dynamic interaction between economic policy uncertainty and financial stress: A multi-scale correlation framework" @default.
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- W2564482643 doi "https://doi.org/10.1016/j.frl.2016.12.010" @default.
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