Showing 54,631 - 54,633 of 54,633
Persistent link: https://www.econbiz.de/10015050071
We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal components (PCs) of the covariance matrix of global asset returns experience large, sudden, and temporary spikes coinciding with well-known crises - Covid-19 pandemic, Global...
Persistent link: https://www.econbiz.de/10014635656
Persistent link: https://www.econbiz.de/10013442662