, macroeconomic imbalance, economic growth, economic integration, financial risk, volatility and trade effects. The main aims of this … Volatility Spillover In Time Of Crisis: Evidence From A Smooth Transition Regression Application -- 5. Bank Lending … the Literature -- 12. How Accurate Are Risk Models During COVID-19 Pandemic Period? -- 13. What Does Matter The Climate …

It is widely observed that primary commodity prices comove. A parallel literature asserts that correlation risk matters … for financial returns. Our novel study connects these topics and presents evidence that commodity correlation risk is both … non-constant and important for returns. We reconsider therefore the relationship between primary commodities, risk and …

This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further … eliminate the residual systematic risk inherent in the factor asset pricing model. Combining both complementary techniques … contributes to a more comprehensive firm-level idiosyncratic risk that is crucial in both portfolio diversification and alpha …