Page 280 - Contributed Paper Session (CPS) - Volume 6

CPS1929 Takayuki M.

Fig. 2 Long and Short Run Correlations (NK225 and JT)
References:
1. Asgharian, H., Christiansen, C., Gupta, R., and Hou, A. J. (2016). Effects of
Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock
Market Correlation (October 3, 2016). Available at SSRN:
https://ssrn.com/abstract=2846925 or
http://dx.doi.org/10.2139/ssrn.2846925.
2. Baker, S.R., Bloom, N., and Davis, S.J. (2016). Measuring Economic Policy
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5. Engle, R. (2002). Dynamic conditional correlation - a simple class of
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