Cardoso, Guilherme; Ribeiro, Karem; Carvalho, Luciano - In: Managerial Finance 47 (2020) 4, pp. 441-465
Purpose: Risk management has been crucial to investors and regulators for pursuing market diversification opportunities and developing strategies to ensure market stability. This study examines the dependence structures of volatility, related to co-movements and macroeconomic effects, among...