G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16389
DP16389 The Correlation Risk Premium: International Evidence
Gonçalo Faria; Robert Kosowski; Tianyu Wang
发表日期2021-07-22
出版年2021
语种英语
摘要In this paper we carry out the first cross-country analysis of the correlation risk premium. We examine the statistical properties of the implied and realized correlation in European equity markets and relate the resulting premium to US equity market correlation risk and a global correlation risk premium. We find evidence of strong co-movement of correlation risk premiums in European and US equity markets. Our results support the existence of a strong empirical relationship between the global correlation risk premium and international equity market option returns. We document the dependence of the correlation risk premium on macroeconomic policy uncertainty and related variables.
主题Financial Economics
关键词Correlation risk premium Implied correlation Realized correlation Variance risk premium International equity options
URLhttps://cepr.org/publications/dp16389
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/545351
推荐引用方式
GB/T 7714
Gonçalo Faria,Robert Kosowski,Tianyu Wang. DP16389 The Correlation Risk Premium: International Evidence. 2021.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Gonçalo Faria]的文章
[Robert Kosowski]的文章
[Tianyu Wang]的文章
百度学术
百度学术中相似的文章
[Gonçalo Faria]的文章
[Robert Kosowski]的文章
[Tianyu Wang]的文章
必应学术
必应学术中相似的文章
[Gonçalo Faria]的文章
[Robert Kosowski]的文章
[Tianyu Wang]的文章
相关权益政策
暂无数据
收藏/分享

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。