This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets …. We use daily stock market returns for G7 countries (the United States, the United Kingdom, Germany, Japan, Canada, France … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …

specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …