Abstract
ABSTRACT We empirically investigate the dynamic correlation between different uncertainties and stock market extreme risk across multiple time-frequency domains, providing novel evidence for the multiscale heterogeneity of popular uncertainty measures. Our findings reveal a more significant short-term relationship between the observable news-based economic uncertainty proposed by Baker et al. (2016) and China’s stock market extreme risk, while the latent economic uncertainty suggested by Jurado et al. (2015) dominates the long-term time horizon. Moreover, financial uncertainty is also a crucial source of stock market extreme risk that cannot be ignored.
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