uncertainty adversely impacts both, while an increase in good uncertainty has positive effects. This holds for many considered … uncertainties. Bad uncertainty is important in conomic distress times. In contrast, good uncertainty helps to explain returns in … calm times. Overall, the results highlight the opposite effect of bad and good uncertainty and show that both are key …

idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …Using the multivariate quantile model, this paper develops a global economic policy uncertainty (EPU) spillover measure … for each country, and investigates the spillover effects on the country-level stock market idiosyncratic volatility across …

uncertainty (GEPU). By applying the full- and sub-sample rolling-window bootstrap causality tests to analyze the dynamic …

(conventional and unconventional) monetary policy shocks affect risk and uncertainty in three large economies: the US, euro area … stock market into a conditional variance component ("uncertainty") and a variance risk premium component (which is more … model. We then analyze monetary policy effects on risk and uncertainty. We do not find evidence that US monetary policy …

Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …

causal effect of global geopolitical risk on the dynamic volatility connectedness within China's sectoral stock markets. The … results reveal volatility connectedness among China’s stock market sectors, and the industry, optional consumption, and … demonstrates superior performance compared to the linear Granger causality test, and it is evident that global geopolitical risk …

This study compares two channels for global impact on local volatility: the direct channel in which global variables … affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect … local volatility by changing its persistence over time. The economic importance of each channel is measured by its …