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area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …
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components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
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In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
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