implied volatility surface (up to 100%) and on two risk measures: value at risk and expected shortfall where an increase of up …

policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy …

, disappointment may result not only from a fall in the market index, but also from a rise in a volatility index. Theoretically, we … show that besides the market return and changes in market volatility, three two-asset option-like payoffs, contingent to … and a long call on the volatility index. Implied measures of market and volatility downside risks similar to those …

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad …

significantly on both US and UK EPU shocks. The long-run correlation depends positively on the US EPU shocks. The dependence is … US EPU shocks perform well in predicting correlation. We further analyze categorical EPU shocks and several global stock …

correlation, but UK EPU shocks only affect its own long-run variance. The results are consistent when we include more countries in … correlation, even after accounting for a number of alternative uncertainty measures, and that it performs better out …