This study provides new evidence on the impact of climate physical risk (as measured by the Global Climate Risk Index (CRI) from Germanwatch) on stock market returns. Specifically, a panel model with fixed effects is estimated using annual data from 2007 to 2021 for a set of 65 countries as well...

A Simple Method for Predicting Covariance Matrices of Financial Returns makes three contributions. It proposes a new method for predicting the time-varying covariance matrix of a vector of financial returns and a new method for evaluating a covariance predictor. The third contribution is an...