Economic policy uncertainty, equity premium and dependence between their quantiles: Evidence from quantile-on-quantile approach

Economic policy uncertainty, equity premium and dependence between their quantiles: Evidence from quantile-on-quantile approach

Accepted Manuscript Economic policy uncertainty, equity premium and dependence between their quantiles: Evidence from quantile-on-quantile approach Sy...

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Accepted Manuscript Economic policy uncertainty, equity premium and dependence between their quantiles: Evidence from quantile-on-quantile approach Syed Ali Raza, Isma Zaighum, Nida Shah

PII: DOI: Reference:

S0378-4371(17)31214-1 https://doi.org/10.1016/j.physa.2017.11.125 PHYSA 18893

To appear in:

Physica A

Received date : 25 April 2017 Revised date : 28 August 2017 Please cite this article as: S.A. Raza, I. Zaighum, N. Shah, Economic policy uncertainty, equity premium and dependence between their quantiles: Evidence from quantile-on-quantile approach, Physica A (2017), https://doi.org/10.1016/j.physa.2017.11.125 This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain.

 

Economic Policy Uncertainty, Equity Premium and Dependence between their Quantiles: Evidence from Quantile-on-Quantile Approach

Syed Ali Raza  -)4%01)25 "0"#() "*)12"- ,")+15%$!"+)0"6"(.2,")+#., %+     .00%1/.-$)-'32(.0

Isma Zaighum  -)4%01)25 "0"#() "*)12"- ,")+)1,"6!/*5"(..#.,

Nida Shah %/"02,%-2.&"-"'%,%-2#)%-#%1  -)4%01)25 "0"#() "*)12"- ,")+-)$"1("(! (.2,")+#., 

 

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 Table 2: Descriptive Statistics of G7 countries 

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  Table 3: Zivot-Andrews Structural Break Trended Unit Root Test Country Canada France Germany Japan UK USA Italy

Variable

At Level Time Break

T- Statistics

Time Break

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