Economic Policy Uncertainty and Conditional Dependence between China and U.S. Stock Markets

Table 6

Estimation results for dynamic Student- Copulas.

	Time-varying Student- Copula	Student- Copula-MIDAS
		GEPU	AEPU	CEPU
	0.0011	1.1433	1.6545	1.0295
	(0.0022)	(0.5502)	(1.2871)	(0.3407)
	0.0105	0.0899	−0.0063	0.0107
	(0.0066)	(0.1235)	(0.1582)	(0.0157)
	1.9930	−1.8775	−1.8647	1.7766
	(0.0255)	(0.2469)	(0.4247)	(0.3783)
	3.4362	3.4456	3.4917	3.5096
	(0.6345)	(0.6308)	(0.6598)	(0.6692)
		−2.5240	−2.6225	−0.1229
		(0.7195)	(0.9822)	(0.2000)
		0.6162	0.6478	0.0320
		(0.1499)	(0.2078)	(0.0522)
Log-lik	31.8951	36.3791	33.5023	38.4785

Note. Log-lik represents the log likelihood.