Bekaert, Geert; Hoerova, Marie; Scheicher, Martin - 2009
uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the VIX and the credit spreads … information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and uncertainty. Moreover …, there is a significant comovement in the German and US risk aversion. -- Economic uncertainty ; Risk aversion ; Time …