calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have … researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to …