, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

world and other sectors, depending on market states. On the other hand, oil market volatility (OVX) adversely affects all …Our study extends the existing literature by exploring the impact of three major risk and uncertainty indices on the … Dow Jones Islamic Market (DJIM) World and the ten major sectoral Islamic equity indices. We also look at whether the …

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

The extent to which economic policy uncertainty (EPU) amplifies exchange rate volatility has been an important research … imparts an effect on exchange rate volatility either contemporaneously, or with a one month lag. The use of monthly frequency … contributes to exchange rate volatility much more quickly than monthly data can detect. I also find that non-policy market …

We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …