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...
Saved in:
| Main Authors: | , |
|---|---|
| 格式: | text |
| 語言: | English |
| 出版: |
Institutional Knowledge at Singapore Management University
2020
|
| 主題: | |
| 在線閱讀: | 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 |
| 標簽: |
添加標簽
沒有標簽, 成為第一個標記此記錄!
|