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Time-varying risk aversion and its macroeconomic and financial determinants - A comparative analysis in the U.S. and French financial markets
(Elsevier, 2021-07)
This empirical study evaluates risk aversion dynamics in the U.S. and French financial markets in a comparative setting for the period 2000–2016. Key macroeconomic and financial variables that determine the variations in ...
Dynamics of global stock market correlations: the VIX and attention allocation
(Taylor & Francis, 2021-01-01)
This paper investigates the dynamics of international stock return correlations between the U.S., the U.K., Germany and France. Estimated correlations are modeled in an ARDL framework to evaluate how the market-wide ...
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