Risk premium spillovers among stock markets: Evidence from higher-order moments
We investigate the volatility and skewness risk premium spillovers among the U.S., U.K., German, and Japanese stock markets. We define risk premia as the difference between risk-neutral and realized moments. Our findings highlight that during periods of stress, cross-market and cross-moment spillove...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/6710 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7709/viewcontent/Risk_premium_spillover_2020_av.pdf |
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| Institution: | Singapore Management University |
| Language: | English |