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This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …
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economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …
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