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Taxonomy of global risk, uncertainty, and volatility measures

Datta, Deepa Dhume; Londono, Juan M.; Sun, Bo; Beltran, … - 2017

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 … calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …

Persistent link: https://www.econbiz.de/10011780277

What is certain about uncertainty?

Cascaldi-Garcia, Danilo; Sarisoy, Cisil; Londono, Juan M.; … - 2020

Persistent link: https://www.econbiz.de/10012438369

The impact of risk cycles on business cycles : a historical view

Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2022

Persistent link: https://www.econbiz.de/10013375460

The fundamentals of safe assets

Habib, Maurizio Michael; Stracca, Livio; Venditti, Fabrizio - 2020

We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia...