Download or read book Dynamic Co-Movements of Stock Market Returns, Implied Volatility and Policy Uncertainty written by Nikolaos Antonakakis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.